UID:
almafu_9959328395502883
Format:
1 online resource
Edition:
Second edition.
ISBN:
9781118943984
,
1118943988
,
9781118943991
,
1118943996
,
9781118949092
,
1118949099
Series Statement:
Wiley finance
Uniform Title:
Inside volatility arbitrage
Note:
Earlier edition published as: Inside volatility arbitrage : the secrets of skewness.
,
Cover; Title Page; Copyright; Contents; Foreword; Acknowledgments (Second Edition); Acknowledgments (First Edition); Introduction (Second Edition); Introduction (First Edition); Summary; Contributions and Further Research; Data and Programs; Chapter 1 The Volatility Problem; Introduction; The Stock Market; The Stock Price Process; Historic Volatility; The Derivatives Market; The Black-Scholes Approach; The Cox Ross Rubinstein Approach; Jump Diffusion and Level-Dependent Volatility; Jump Diffusion; Level-Dependent Volatility; Local Volatility; The Dupire Approach; The Derman Kani Approach.
,
Stability Issues; Calibration Frequency; Stochastic Volatility; Stochastic Volatility Processes; GARCH and Diffusion Limits; The Pricing PDE under Stochastic Volatility; The Market Price of Volatility Risk; The Two-Factor PDE; The Generalized Fourier Transform; The Transform Technique; Special Cases; The Mixing Solution; The Romano Touzi Approach; A One-Factor Monte-Carlo Technique; The Long-Term Asymptotic Case; The Deterministic Case; The Stochastic Case; A Series Expansion on Volatility-of-Volatility; Local Volatility Stochastic Volatility Models; Stochastic Implied Volatility.
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Joint SPX and VIX Dynamics; Pure-Jump Models; Variance Gamma; Variance Gamma with Stochastic Arrival; Variance Gamma with Gamma Arrival Rate; Chapter 2 The Inference Problem; Introduction; Using Option Prices; Conjugate Gradient (Fletcher-Reeves-Polak-Ribiere) Method; Levenberg-Marquardt (LM) Method; Direction Set (Powell) Method; Numeric Tests; The Distribution of the Errors; Using Stock Prices; The Likelihood Function; Filtering; The Simple and Extended Kalman Filters; The Unscented Kalman Filter; Kushner's Nonlinear Filter; Parameter Learning; Parameter Estimation via MLE; Diagnostics.
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Particle Filtering; Comparing Heston with Other Models; The Performance of the Inference Tools; The Bayesian Approach; Using the Characteristic Function; Introducing Jumps; Pure-Jump Models; Recapitulation; Model Identification; Convergence Issues and Solutions; Chapter 3 The Consistency Problem; Introduction; The Consistency Test; The Setting; The Cross-Sectional Results; Time-Series Results; Financial Interpretation; The ""Peso'' Theory; Background; Numeric Results; Trading Strategies; Skewness Trades; Kurtosis Trades; Directional Risks; An Exact Replication; The Mirror Trades.
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An Example of the Skewness Trade; Multiple Trades; High Volatility-of-Volatility and High Correlation; Non-Gaussian Case; VGSA; A Word of Caution; Foreign Exchange, Fixed Income, and Other Markets; Foreign Exchange; Fixed Income; Chapter 4 The Quality Problem; Introduction; An Exact Solution?; Nonlinear Filtering; Stochastic PDE; Wiener Chaos Expansion; First-Order WCE; Simulations; Second-Order WCE; Quality of Observations; Historic Spot Prices; Historic Option Prices; Conclusion; Bibliography; Index; EULA.
Additional Edition:
Print version: Javaheri, Alireza. Inside volatility filtering. Hoboken, New Jersey : John Wiley & Sons, Inc., [2015] ISBN 9781118943977
Language:
English
Keywords:
Electronic books.
;
Electronic books.
;
Electronic books.
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/9781118949092
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/9781118949092
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/9781118949092
