Inside Volatility Arbitrage : The Secrets of Skewness | Alireza Javaheri

Inside Volatility Arbitrage : The Secrets of Skewness | Alireza Javaheri | A Masterpiece

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Inside Volatility ...

	Inside Volatility Arbitrage : The Secrets of Skewness Alireza Javaheri Wiley, 2005 - 272 pages average customer review:based on 7 reviews view larger image
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highly recommended

Todays 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. Inside Volatility Arbitrage can help them do this. Author and financial expert Alireza Javaheri uses the classic approach to evaluating volatility -- time series and financial econometrics -- in a way that he believes is superior to methods presently used by market participants. He also suggests that there may be "skewness" trading opportunities that can be used to trade the markets more profitably. Filled with in-depth insight and expert advice, Inside Volatility Arbitrage will help traders discover when "skewness" may present valuable trading opportunities as well as why it can be so profitable.

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Cool !

Best investment I have made in years ! The book is clear, detailed and complete. I recommend it to anyone interested in volatilty models.

A Masterpiece

This is one of those rare books that actually shows you how to find the optimal set of parameters. The only thing missing in this book is the actual procedure for finding the optimal set of parameters. It is mentioned, however, the procedure is the Powells method from "Numerical Recipes in C", but how the initial solution is guessed is not specified.

That is the only thing that has stopped me from naming this book "A Perfect Masterpiece".

And finally, to the person who has written the review "Practitioners Beware", I would say, "on the contrary!". Practitioners, this is it!

Sincerely,
Aleksandar Mojancevski

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Excellent Book

Sometimes practitioners think what the smile is "given by the heaven" and what all the traders are "prices takers"...but..¿what if there are not available option prices? or ¿what happens if the option market prices are not taking in account the real underliying evolution or the real hedging costs implied in this evolution?.
This books explain how you can model the smile when only the statistical serie of the underliying is available, and finally check the consistency between the implied parameters in the option prices and the parameters implied in the time series for a speciffical model, and check if there exist an arbitrage opportunity (or a badly specified model). Is important to say what additionally Javaheri provides a very flexible code for implementating and testing diferent econometric approaches to solve the problem.

The only suggestion to the author for the next edition is to dedicate more pages to one of the most complex underlying's: the yield curve, because is well known that this subject requires special attention.

Finally is necessary to give a warning...this book demands from a reader a high level in maths and econometric time series, in other way the readers could have a "depress", like i could see in other review.

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Finally !

Finally a book explaining all the details and techniques of estimation and volatility arbitrage !
I had been waiting for something like this for a long time.

reviews: page 1, 2

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