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With the recent steep rise and many changes in the field of volatility in the capital markets, exchanges across the world are planning to increase volatility trading. Volatility as an Asset Class brings together the best techniques from both academics and practitioners at an important time. Written from the practitioner's perspective, but with important academic contributions, this book is wholly devoted to the trading of volatility as an asset class. This guide covers: - Trading of volatility and related issues (eg, measurement, forecasting, modelling and hedging) - 3rd generation volatility products including volatility, variance, gamma and correlation swaps - How volatility can be measured, what it means, and how it can be used - Reviews the market and compares volatility and fixed income asset classes - Shows how to build volatility surfaces - Examines the reliability of the VIX and describes the VIX and other CBOE-traded volatility products - Pricing and hedging variance swaps - Trend following in terms of a volatility strategy - How the models are calibrated to the market. This book is recommended reading for traders, risk managers, hedge fund managers, front-, middle- and back-office personnel and software designers, or anyone looking to take advantage of this market.
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Israel Nelken Israel Nelken is president of Super Computer Consulting, Inc. in Northbrook, Illinois. Super Computer Consulting Inc. specialises in complex derivatives, structured products, risk management and hedge funds. He holds a PhD in computer science from Rutgers University and was on the faculty at the University of Toronto. Israel's firm has many consulting clients including several regulatory bodies, major broker-dealers, large and medium sized banks as well as hedge funds. He is a lecturer at the prestigious mathematics department at the University of Chicago and teaches numerous courses and seminars around the world on a variety of topics. Israel's seminars are known for being non-mathematical. Instead they combine cutting edge analytics with real world applications and intuitive examples. He is a member of the Chicago Board Options Exchange New Products Committee.
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