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Volatility Trading + Website (Wiley Trading) 2nd (second) Edition by Euan Sinclair (2013)
From the Inside Flap
Volatility, by definition, is indicative of underlying randomness. But there are patterns within the noise that can be measured and exploited. No one knows this better than author Euan Sinclair, a highly successful options trader with a doctorate in quantum chaos.
But the Second Edition of Volality Trading isn't just about the numbers. Drawing upon his fifteen years as a professional trader, Sinclair provides a fully fleshed-out approach to trading that relies as much on the all-important "human element" and the psychological and emotional biases that drive trading decisions, as it does on quantitative analysis.
Ultimately, says Sinclair, trading is about having a coherent trading philosophy and developing a rigorous system. It's about setting a goal that can be clearly expressed in one sentence, and about finding trades with a clear statistical edge. And, finally, it's about capturing that edge and sizing each trade in a way that is consistent with your goal. Everything you do as a trader must be done within this framework.
Taking an accessible, straightforward approach, Sinclair provides you with the knowledge and tools you need to create just such a framework. He walks you through the basics of option pricing, volatility measurement, hedging, money management, and performance evaluation. And he develops a Black-Scholes-Merton-based quantitative model for measuring volatility that can easily can be adapted to trading virtually any type of financial instrument.
Responding to major changes in the markets since the first edition, Sinclair has expanded his scope in this Second Edition to include coverage of the many new opportunities available in VIX futures, ETNs, and leveraged ETFs. He also:
Analyzes the benefits and shortcomings of an array of historical volatility measurements
Clearly shows how volatility behaves in the real world and how it relates to returns on underlying assets
Outlines methods for forecasting volatility over the lifetime of a trade
Supplies proven techniques for knowing when to hedge and by how much
Delivers strategies for aggregating positions so as to reduce the need to hedge
Shares priceless tips on how to boost returns through trade sizing！including techniques borrowed from the worlds of futures trading and professional gambling
Arms you with powerful tools for evaluating the ongoing performance of your trading activity
Fills you in on the latest research on cognitive and emotional biases that influence trading decisions and how to leverage them to your advantage
Delineates time-tested strategies for trading VIX futures, ETNs, and leveraged ETFs
Provides access to a companion website containing valuable spreadsheets, models for calculating volatility cones for different time periods, and simulation engines
Bringing volatility trading down to earth for even the most numbers-shy traders, as well as hard-nosed quants interested in acquiring a deeper understanding of options trading, Volatility Trading, Second Edition is an indispensable "tool of the trade."
From the Back Cover
Praise from experts for the Second Edition of Volatility Trading
"Benefitting from his experience as an option trader and his background as a physicist, Euan Sinclair gives a comprehensive and detailed treatment of theoretical and practical aspects involved in volatility trading. The style is to-the-point, focused, and honest. The book includes something rarer than a CD-ROM: humor. Heartily recommended for the practitioner, as well as the academic who wants to know."
！JESPER ANDREASEN, Danske Markets, Copenhagen
"Over the last five years, this has become the classic work on practical options trading. It has been updated to cover innovations in markets as well as additional material on behavioral finance and capturing risk premium Everyone who trades options should read this book."
！AARON BROWN, Risk Manager, AQR Capital Management, and author of Red-Blooded Risk
"Practical, engaging, and concise, Euan Sinclair's Volatility Trading remains the best book I have seen about options trading from the practitioner's standpoint. A far cry from the standard textbook treatment, Sinclair's discussion of practical topics such as trade sizing, exit criteria, and P&L management！peppered with relevant trading anecdotes！educates while countering many of the trader myths and fallacies one hears over the years. New material on trading the VIX and volatility ETFs is particularly timely and useful."
！STEVE CRUTCHFIELD, Head of U.S. Options, NYSE Euronext