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Determinants of Implied Volatility Movements in Equity Options: How to measure and hedge the implied volatility risk in options portfolios - Softcover
Synopsis
This book introduces the idea of volatility as an asset class. Implied Volatility for individual U.S. Stocks are examined extensively. The first chapter defines the notion of implied volatility movements and its interaction with fundamental variables related to the underlying stocks. The second chapter introduces a stochastic implied volatility model for U.S. Stocks and shows how most stocks react to one easily measured common factor. This factor is very robust and liquid to trade. The final chapter examines the risk premia in straddle returns and how to hedge an options portfolios implied volatility risk.
"synopsis" may belong to another edition of this title.
About the Author
Dr. Chris Angelo has an excellent skill-set of market experience, advanced computational skills, complex statistical modeling, and the modeling of options pricing. He is an expert in Statistical analysis of multi-asset Implied Volatility Time Series modeling and forecasting. He earned his PhD in Finance from the University of Texas.
"About this title" may belong to another edition of this title.
- PublisherVDM Verlag Dr. Müller
- Publication date2011
- ISBN 10 3639338340
- ISBN 13 9783639338348
- BindingPaperback
- LanguageEnglish
- Number of pages60
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Taschenbuch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - This book introduces the idea of volatility as an asset class. Implied Volatility for individual U.S. Stocks are examined extensively. The first chapter defines the notion of implied volatility movements and its interaction with fundamental variables related to the underlying stocks. The second chapter introduces a stochastic implied volatility model for U.S. Stocks and shows how most stocks react to one easily measured common factor. This factor is very robust and liquid to trade. The final chapter examines the risk premia in straddle returns and how to hedge an options portfolios implied volatility risk. Seller Inventory # 9783639338348
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Determinants of Implied Volatility Movements in Equity Options
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