December 2008
Intermediate to advanced
696 pages
21h 40m
English
Content preview from Principles of Financial Engineering, 2nd Edition
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CHAPTER 9
Engineering Convexity Positions
1. Introduction
How can anyone trade volatility? Stocks, yes. Bonds, yes. But volatility is not even an asset. Several difficulties are associated with defining precisely what volatility is. For example, from a technical point of view, should we define volatility in terms of the estimate of the conditional standard deviation of an asset price St?
(1)
Or should we define it as the average absolute deviation?
(2)
There is no clear answer, and these two definitions of statistical volatility will yield different ...
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I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.