Volatility surface and term structure : high-profit options trading strategies

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Title:

Author:

Zhou, Shifei.

ISBN:

9780415826204

Personal Author:

Zhou, Shifei.

Publication Information:

Abingdon, Oxon : Routledge, 2013.

Physical Description:

x, 87 pages ; 24 cm.

Series:

Routledge advances in risk management ; 1

General Note:

Formerly CIP.

Contents:

Introduction -- A novel model-free term structure for stock prediction -- An adaptive correlation heston model for stock prediction -- The algorithm to control risk using option -- Option strategies: evaluation criterion and optimization -- A novel mean reversion-based local volatility model -- Regression-based correlation modeling for heston model -- Index option strategies comparison and self-risk management -- Call-put term structure spread-based HSI analysis.

Subject Term:

Added Author:

Wang, Hao (Associate professor of mechanical and electrical engineering)

Lai, Kin Keung,

Yen, Jerome,

Copies:

Available:*

Library	Material Type	Item Barcode	Shelf Number	Copy	Status
Searching... 1:IIEMSA	1:GEN-BOOK	33168025592227	332.6453 Z63V 2013	1	Searching... Unknown

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Summary

This book provides different financial models based on options to predict underlying asset price and design the risk hedging strategies. Authors of the book have made theoretical innovation to these models to enable the models to be applicable to real market. The book also introduces risk management and hedging strategies based on different criterions. These strategies provide practical guide for real option trading.

This book studies the classical stochastic volatility and deterministic volatility models. For the former, the classical Heston model is integrated with volatility term structure. The correlation of Heston model is considered to be variable. For the latter, the local volatility model is improved from experience of financial practice. The improved local volatility surface is then used for price forecasting. VaR and CVaR are employed as standard criterions for risk management. The options trading strategies are also designed combining different types of options and they have been proven to be profitable in real market.

This book is a combination of theory and practice. Users will find the applications of these financial models in real market to be effective and efficient.