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Volatility As An Asset Class (Book Review)

Monday, November 3, 2008

Volatility as an Asset Class: A guide to buying, selling, and trading third-generation volatility products, ed. Israel Nelken (London: Risk Books, 2007). Israel Nelken, one of the members of the CBOE New Products Committee, has collected 11 essays on the theory and practice of trading volatility as a distinct asset class. The first half of the book examines the measurement of volatility and ways to employ volatility models on several traditional underlying products. The second half is devoted to discussion…

Financial Geekery Mini-linkfest

Monday, October 6, 2008

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When the market is frustrating or weird or mostly untouchable, we find that’s usually the best time to geek out. The research linked below has, beyond its immediate educational value, the hidden benefit of also being difficult and long enough to keep you from overtrading and/or obsessing about day-to-day nonsense. Emanuel Derman on models. More on volatility as an asset class. We expressed our doubts about pursuing this notion qua retail traders here. Obviously, there are variance and volatility swaps for those…

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Volatility As An Asset Class (Book Review)

Financial Geekery Mini-linkfest

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