Volatility Investing for Asset Managers
|Rating||:||4.21 (908 Votes)|
|Number of Pages||:||130 Pages|
Stefan Johansson (@cashderivatives on Twitter) said Nice book on derivatives. Basically a very nice book on derivatives. A great opportunity to view the field of derivatives and the opportunities therein from the perspective of an experienced derivatives trader, who pragmatically discuss the subject through concepts rather than through mathematical formulas. The first book I ever read myself on derivatives was Derivatives : The Theory and Practice of Financial Engineering (Wiley Frontiers in Finance Series). After reading Wilmott's great book I was hooked a. "Strongly recommended for all asset managers!" according to Nic. Volatility investing for asset managers provides insight and clarity regarding a number of concepts in the world of volatility investing. I know of a lot of other asset managers than myself that have looked into VIX.derivatives and various ETFs that promised to do miracles in terms of asset diversification. We all came to the same conclusion; the drawbacks with many of these products undermines the actual result to a degree where one shies away from the whole idea! This book reall. Jeremy R. Thompson said practical. This is a practical book on option replication (and being on the right side of that replication).The author discusses trading from a long volatility/gamma perspective which is different than most books on options that focus on selling premium.I learned some different ways to look at basic options concepts from this book.
Concepts that are discussed include correlation, dispersion trading, option risk premium, discrete hedging strategies, portfolio management, option- and generic replication, asset allocation and option-selection. Johan Wattenstrom describes different strategies for holding volatility positions or strategies over time, in order to create an efficient diversification of an existing asset portfolio, or as an alpha strategy. If you manage assets, in either a hedge fund, as an asset manager, in a fund-of-hedge fund or in a family office, and have chosen not to allocate any risk to volatility, then this book will give you many arguments for revising your thoughts on this matter. The text describes the nature of volatility; attributes of volatility products, and how to build and manage your own delta hedged volatility portfolio in equity options. Contents: Introduction Practical Approach Most portfolios benefit from volatility exposure Criticism against volatility investing Top reasons for assets managers to invest in volatility A diversified portfolio The nature of volatility Good and bad ways to invest in volatility Available instruments Managing your own volatility portfolio Introduction Volatility trading and the concept of delta hedging Finding your edge Hedging algorithm Discussion on methodology Robustness Choosing volatility to input in valuation models for delta/gamma When to hedge depending on position and strategy Frequency of hedging Methodica