9783639627893

Smile Arbitrage

Alaa El-Din Hammam
This Group Deal is closed
Price
48.95 €
44.05 €

Group Deal not yet accepted!
1 more copies required
Discount
10%
ISBN-13:

978-3-639-62789-3

ISBN-10:
363962789X
EAN:
9783639627893
Book language:
English
Blurb/Shorttext:
This Book deals with implied volatility, how it is recognized, modeled, and the ways used by practitioners in order to benefit from an arbitrage opportunity when compared to the realized volatility. Prediction power of implied volatility is examined and findings of previous studies are supported, that it has the best prediction power of all existing volatility models. When regressed on implied volatility, realized volatility shows a high beta of 0.88, which contradicts previous studies that found lower betas. Moment swaps are discussed and the ways to use them in the context of volatility trading, the payoff of variance swaps shows a significant negative variance premium which supports previous findings. An algorithm to find a fair value of a structured product aiming to profit from skew arbitrage is presented and the trade is found to be profitable in some circumstances. Different suggestions to implement moment swaps in the context of portfolio optimization are also discussed.
Publishing house:
AV Akademikerverlag
Website:
http://www.akademikerverlag.de/
By (author) :
Alaa El-Din Hammam
Number of pages:
132
Published on:
2014-03-25
Stock:
Available
Category:
Money, Bank, Stock exchange
Price:
48.95 €
Keywords:
Implied volatility, moment swaps, dispersion trading, skew trading, Black-Scholes-Model, higher moments, smile arbitrage, realized volatility, variance swaps, derivatives, volatility models

Newsletter

Adyen::amex Adyen::mc Adyen::visa Adyen::cup Adyen::unionpay Paypal Wire Transfer

  0 products in the shopping cart
Edit cart
Loading frontend
LOADING