Volatility determines the price of everything — especially options. In Beyond Volatility Arbitrage, Alireza Javaheri uses the classic approach to evaluating volatility — time series and financial econometrics — in a way that he believes is superior to a number of other methods presently used by market participants. The book also suggests that there may be “skewness” trading opportunities that can be used to trade these markets more profitably. Beyond Volatility Arbitrage will help traders see when skewness may present valuable trading opportunities.
Book Details:
- Author: Alireza Javaheri
- ISBN: 9780470325506
- Year Published: 2005
- Pages: 272
- BISAC: BUS027000, BUSINESS & ECONOMICS/Finance
About the Book and Topic:
Volatility determines the price of everything — especially options. In Beyond Volatility Arbitrage, Alireza Javaheri uses the classic approach to evaluating volatility — time series and financial econometrics — in a way that he believes is superior to a number of other methods presently used by market participants. The book also suggests that there may be “skewness” trading opportunities that can be used to trade these markets more profitably. Beyond Volatility Arbitrage will help traders see when skewness may present valuable trading opportunities.
Volatility is a hot topic. Wall Street traders, hedge funds, and academics are constantly searching for ways to analyze, predict, and assess volatility as number crunchers, in ways that make their valuations models more accurate. Markets do not always behave according to a “normal” distribution pattern. Instead, they often exhibit “fat tails” — which are defined as prices that are skewed far away from the normal bell curve. Traders hate skewness because it creates surprises for them and can muddy their trading performance. Skewness trades are sometimes opportunities where market prices are way out of whack, and may present opportunities for a high profit. For example, the internet bubble and stock market crash was an example of skewness in stock prices. So traders want to know when volatility is a sign that the sky is falling (and they should stay out of the market), and when it is a sign of a possible trading opportunity that they might exploit.
Author has a solid platform. He works for Citigroup and writes book reviews for Wilmott magazine. Endorsers of his book should include many respected academics and market participants such as Paul Wilmott and Peter Carr. Methods for assessing volatility are always a “need to know” subject on Wall Street, so this book should have immediate appeal to traders and risk managers at all major Wall Street firms. Author offers an original, groundbreaking new work on how to assess volatility using financial econometrics and trade against “skewness” scenarios.
About the Author
Alireza Javaheri, (New York, NY) PhD, CFA, is an adjunct researcher in the finance and economics department of Ecole des Mines de Paris. He has worked in the financial industry for many years including in Citigroup, Lehman Brothers and Goldman Sachs. He has written numerous articles in various financial journals.