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Galacher W.R. — The Options Edge: Winning the Volatility Game with Options on Futures
Galacher W.R. — The Options Edge: Winning the Volatility Game with Options on Futures

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Название: The Options Edge: Winning the Volatility Game with Options on Futures

Автор: Galacher W.R.

Аннотация:

Based on the results of a major empirical investigation into the long-run expectations of both buyers and writers of options on commodity future contracts. The Options Edge shows that it is possible to develop a systematically profitable approach to the trading of options, in a way that can be understood by any trader-and employed by every trader. Unlike well-known theoretical treatises that often sink under the weight of their own mathematical presumptions, The Options Edge develops a simple, understandable, and widely applicable option pricing model without invoking any complicated mathematics whatsoever.


Язык: en

Рубрика: Математика/

Статус предметного указателя: Готов указатель с номерами страниц

ed2k: ed2k stats

Год издания: 1999

Количество страниц: 273

Добавлена в каталог: 01.12.2006

Операции: Положить на полку | Скопировать ссылку для форума | Скопировать ID
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Предметный указатель
Account diversification      165
Advisory services      14 60
Arbitrage      52
Armchair bookmaking      168
Asked price      155
At the market order      156
At-the-money option      12
At-the-money option, correction factor for      90—92
Backgammon analogy      116
Bauer, Jurgens      156
Beardstown Ladies      5
Bell curve      22
Bettor’s payoff      31
Bid price      155
Billion dollar blowout      170
Black — Scholes formula      42 55 66 82 171
Black, Fischer      43 44
Boutique science      131
Call option, 1-day at-the-money      32—36
Call option, definition of      9
Call option, price parity of      14 41
Capote, Truman      169
Cattle futures and options, 1996 daily statistics      246—249
Cattle futures and options, 1996 volatility profile (chart)      245
Cattle futures and options, case study of      141—142
Cattle futures and options, five-year volatility profile      244
Chicago Mercantile Exchange, The      119
Choppy markets      125
Cocoa futures and options, 1996 daily statistics      252—255
Cocoa futures and options, 1996 volatility profile (chart)      251
Cocoa futures and options, five-year volatility profile      250
Coffee futures and options, 1996 daily statistics      258—261
Coffee futures and options, 1996 volatility profile (chart)      257
Coffee futures and options, five-year volatility profile      256
Coffee, price change analysis of      23—28
Commission costs      154 160—162
Common sense, principle of      5
Confirmation-bias syndrome      6
Corn futures and options, 1996 daily statistics      240—243
Corn futures and options, 1996 volatility profile (chart)      239
Corn futures and options, case study of      140—141
Corn futures and options, five-year volatility profile      238
Correlation studies      5
Cotton futures and options, 1996 daily statistics      222—225
Cotton futures and options, 1996 volatility profile (chart)      221
Cotton futures and options, five-year volatility profile      220
Crash Monday      146
Crude oil futures and options, 1996 daily statistics      216—219
Crude oil futures and options, 1996 volatility profile (chart)      215
Crude oil futures and options, case study of      142—145
Crude oil futures and options, five-year volatility profile      214
Derivative variable      18
Diversification      165
Dow Jones Industrial Average      167
Dynamic writing strategies      115—126
Education of a Speculator      5
Equality of expectations      111
Equity swings      116
Execution costs      154
Exit and entry costs      158
Expectation, call option buyer’s      33—34
Expectation, equality of      111
Expectation, mathematical definition of      31—32
Expectation, negative      4
Expectation, positive      4
Exponential smoothing      131 149 170
Fair value of 1-day call option      32—37
Fair value of an at-the-money option      40—41
Fair value, concept of      2 32
Fair value, expressed as mean absolute deviation      37 82
False optimization      133
Federal Open Market Committee      137—138
Federal Reserve Board      137 169
Federal Reserve Board, interest rate policy of      137—138
Feynman, Richard      64
Financial Analyst’s Journal, The      44
Fixed price order      148
Frequency distribution      22 30
Frequency distribution of coffee prices      26—27
Frequency distribution of silver prices      26—27
Fudging the numbers      6
Full disclosure, principle of      6
Fundamental overrides      134—151
Futures price, random nature of      18 23
Futures price, temporary equilibrium      18
Gifford, Frank      6
Globex      119
Gold futures and options, 1996 daily statistics      204—207
Gold futures and options, 1996 volatility profile (chart)      203
Gold futures and options, five-year volatility profile      202
Gold options, pricing of      12—13
Greenspan, Alan      151
Gross trading edge, definition of      151
Hedge funds      169
Hidden costs      158
High-tech psychology      151
Hogs and Pigs Report      71
Hypotheses testing for overvaluation      133—134
Hypotheses testing of straddle writing      102—108 119
Hypotheses using accurate data in testing of      155
Hypotheses, general testing of      4 11
Illiquid options      154
Implied strike price, definition of      102
Implied volatility, definition of      55
In-the-money option      12
Independent variable      18
Index funds      150 166
Insider trading      167
Interest on option premium      115
Japanese yen futures and options, 1996 daily statistics      198—201
Japanese yen futures and options, 1996 volatility profile (chart)      197
Japanese yen futures and options, five-year volatility profile      196
Larry King Live      6
Limit order      157
Logarithmic returns      78—79
Lognormal distribution      77
Long Term Capital Growth      169
Lottery analogy      7
Mad cow disease      141—142
Margin requirements      10 166
Market order      156
Mathematical expectation      31—32
McMillan, Lawrence      62—64 82
Mean absolute deviation in relation to call option price      35—37
Mean absolute deviation, as primary estimator of volatility      82—83
Mean absolute deviation, biased estimate of      129—131
Mean absolute deviation, definition of      26
Mean absolute deviation, relation to standard deviation      38 81—83
Mean absolute deviation, use in valuation tests      126—132
Merton, Robert C.      43 169
Million dollar formula      4 25 43—46 63
Million dollar formula, downfall of      169—171
Million dollar formula, errors in      47—51
Mutual funds      150
Natenberg, Sheldon      66 139
Negative expectation      4 7
Negotiated commissions      161
Neutralizing a problem option      118 159
New York Cotton Exchange, The      66 156
New York Stock Exchange, The      6
New York Times, The, reporting on OPEC intervention      143—145
Niederhoffer, Victor      5
Nobel Prize in economics      43
Non-representative data      127
Non-traded options      154
Normal distribution, definition of      20
Normal distribution, examples of      22—23
Normal distribution, underpricing of options using      48
Ockham, William of      37
Ockham’s equation      41—42 47 52—55 68 83 95
Ockham’s equation for at-the-money straddles      95—96 170
OPEC      143
Optimization, false      133
Option in film industry      8—9
Option Volatility and Pricing Strategies      66 139
Option, advisory services      14 60
Option, expiry date, definition of      9
Option, overvaluation, definition of      14
Option, phantom, definition of      88
Option, premium, definition of      8
Option, price parity, definition of      13
Option, straddle, definition of      89
Option, strike price, definition of      12
Option, time decay of      67
Option, trading pit      12
Option, undervaluation, definition of      14
Option, writer, definition of      7
Options as a Strategic Investment      62
Out-of-the-money option      12
Payoff, bettor’s      31
Payout ratio      108 116—117 126—128 131
Persian Gulf War      144
Phantom options, calculation for      92—96
Phantom options, definition of      88
Phantom options, outcome from writing      102—108
Phantom strike price      122
Positive expectation      4
Price parity of at-the-money options      14 41
Probability, distributions      29
Probability, envelopes      21
Put option, definition of      9
Put option, price parity      14 41
Racetrack analogy      31
Random variables      22
Random walk      39
Regression to the mean      73 75
Resistance level      150
Resting order      160
S&P 500 Index future and options, 1996 daily statistics      180—183
S&P 500 Index future and options, 1996 volatility profile (chart)      179
S&P 500 Index future and options, five year volatility profile      178
S&P 500 Index future and options, volatility during market plunges      145—151
Sample size, importance of      128
Sampling error      23—28
Scholes, Myron      43 169
Scientific method      4
Secular trends      133 146
Selectivity in writing strategies      126—128 132—134
Settlement committee      155
Settlement prices      155
Silver futures and options, 1996 daily statistics      210—213
Silver futures and options, 1996 volatility profile (chart)      209
Silver futures and options, five year volatility profile      208
Silver, price change analysis of      26—27
Slippage      153 158 165
Soros, George      5
Soybean futures and options, 1996 daily statistics      228—231
Soybean futures and options, 1996 volatility profile (chart)      227
Soybean futures and options, five year volatility profile      226
span      166
Square-root time relationship      39 68 97 124 150
Standard deviation of a normal distribution      22 34
Standard deviation of cocoa price changes      77—81
Standard deviation of coffee price changes      26
Standard deviation of logarithmic returns      79
Standard deviation of silver price changes      26
Standard deviation, annualized      82
Standard deviation, definition of      26
Standard deviation, error in trending market      79—81
Stocks in All Positions report      139
Stop-loss order      10 119
Stop-loss protection      10
Straddle, definition of      88
Strangle      145
Strangle, definition of      163
Strike price, definition of      9
Subliminal bias      101
Sugar futures and options, 1996 daily statistics      264—267
Sugar futures and options, 1996 volatility profile (chart)      263
Sugar futures and options, five year volatility profile      262
Support level      150
Surely you’re joking, Mr. Feynman?      64
Swiss franc futures and options, 1996 daily statistics      192—195
Swiss franc futures and options, 1996 volatility profile (chart)      191
Swiss franc futures and options, five year volatility profile      190
System trading      101 119 134
Technical analysis      17
Trading edge      153 166
Trading edge, definition of      151
Trading market, definition of      19
Trading “volatility”      138
Treasury bond futures and options, 1996 daily statistics      186—189
Treasury bond futures and options, 1996 volatility profile (chart)      185
Treasury bond futures and options, five year volatility profile      184
Trending market, definition of      19
Trigger levels      121—125
U-factor, The      136—146
United States Department of Agriculture      139
Unlimited liability, compensation for      115
Unreflected uncertainty      112 136
Volatility, calculation of implied      55—58 96
Volatility, definition of historic      74
Volatility, definition of implied      55
Volatility, definition of market      4 60
Volatility, implied versus market      60—62 67 74—75 128—134
Volatility, Japanese yen example      75—76
Volatility, skew      64
Volatility, smile      64
Wall Street      150—151
Wall Street Journal, The, reporting on corn stocks      140
Wall Street Journal, The, reporting on hedge fund fiasco      169—170
Wheat futures and options, 1996 daily statistics      234—237
Wheat futures and options, 1996 volatility profile (chart)      233
Wheat futures and options, five year volatility profile      232
Whipsaw      161
Winner Take All      1 164 166
World Trade Center      108
Writer’s edge, definition of      4
Zero-sum game      7
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