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Bachelier
Transparent Doppelgänger

Total Posts: 687
Joined: Dec 2005
 
Posted: 2008-01-30 13:55

Watch This Space: A Forthcoming Book on Trading Volatility

Trading Volatility + CD

By an NP member.

I’ve been pleased to see an advance copy.

This is an excellent value, and is light years better than Connoly’s now outdated book.

I’d say anyone who reads and thinks through Hull, Baird, and this forthcoming book and is willing to do the work will be well armed for a (probably) successful career trading vol.

This forthcoming book is VERY CLEAR. I assure you, if a dolt like me finally understands this is a very good book. All of you who do not enjoy English as your first language will find that this book is very comprehensible. I think the author was sensitive to this fact and made his prose lean and direct with this in mind.

This new book again proves: NP attracts value-added members.

NP Rules.


Traders are obsessed with size and defining size in clever graphic ways. Knowing the “size” is everything. “What kind of size you looking at?” “Can you fit in 200?” “Sizola size, like seven-figure size.” Of course, the obsession with size spills over to penis and breast size without hesitation.

Baltazar


Total Posts: 1711
Joined: Jul 2004
 
Posted: 2008-01-30 14:00
I would be very happy to help proof reading if necessary.
I look forward reading it

Qui fait le malin tombe dans le ravin

Martingale
NP House Mouse

Total Posts: 2588
Joined: Jun 2004
 
Posted: 2008-01-30 14:05
are you looking for guineas pigs ?

chiral3
Founding Member

Total Posts: 4545
Joined: Mar 2004
 
Posted: 2008-01-30 15:14
I should also add that I was given some proof materials for this some time ago. Being overly busy and some such bullshit, I was useless to the NP member in my feedback. However, I did read the materials and this book should be a must buy. Clear, concise, from the traders perspective. Intuitively driven without overly mathematical diversions and musings.

Solipsism (Listeni/ˈsɒlɨpsɪzəm/; from Latin solus, meaning "alone", and ipse, meaning "self") is the philosophical idea that only one's own mind is sure to exist.

thefoolishfour
nukulation imminent

Total Posts: 551
Joined: Aug 2004
 
Posted: 2008-01-30 16:02

If the person involved needs any other guinea pigs, then I am more than willing to assist.


Fate is what you call it when you don't know the name of the person screwing you over

Bachelier
Transparent Doppelgänger

Total Posts: 687
Joined: Dec 2005
 
Posted: 2008-01-30 16:39

"Clear, concise, from the traders perspective. Intuitively driven without overly mathematical diversions and musings."

That is something that is emphasized. This is a trader, using math as a tool. This is anti-math one upsmanship or appeal to obscurantism....without ignoring that you must engage the coal face and that some of this is work.


Traders are obsessed with size and defining size in clever graphic ways. Knowing the “size” is everything. “What kind of size you looking at?” “Can you fit in 200?” “Sizola size, like seven-figure size.” Of course, the obsession with size spills over to penis and breast size without hesitation.

urnash


Total Posts: 553
Joined: Sep 2006
 
Posted: 2008-01-30 17:03

Whether the NP member is interested in it is a different question, but I'm also willing to proofread.


Assuming normality means never having to say you don’t have enough data. -- J. Michael Steele

chiral3
Founding Member

Total Posts: 4545
Joined: Mar 2004
 
Posted: 2008-01-30 17:15
Why would someone need it proofread when it is already on AMZ scheduled for a summer release? Big Smile

We should all pony up and support our NP brother (or sister) and buy the book (it'll be expensed anyway).

Solipsism (Listeni/ˈsɒlɨpsɪzəm/; from Latin solus, meaning "alone", and ipse, meaning "self") is the philosophical idea that only one's own mind is sure to exist.

Martingale
NP House Mouse

Total Posts: 2588
Joined: Jun 2004
 
Posted: 2008-01-30 17:30

this one, guys

http://www.amazon.com/Volatility-Trading-%2B-CD-ROM-Wiley/dp/0470181990/ref=sr_1_7?ie=UTF8&s=books&qid=1201710539&sr=8-7


Skillionaire


Total Posts: 187
Joined: Mar 2007
 
Posted: 2008-01-30 17:53

When does the "Guess Which Member Euan Sinclair Is Contest" begin and what's the prize? 

I'm throwing my hat in the ring with JohnJPhillipsIV................so, do I win?


"First God, then man, horse, dog. Then women. Then rat."

dgn2


Total Posts: 1924
Joined: May 2004
 
Posted: 2008-01-30 18:11

I pre-ordered it as soon as it was posted on Amazon. I am in a similar position to C3...my feedback was of limited use but I was impressed. I am a big fan of the style of this book.


...WARNING: I am an optimal f'er

filthy


Total Posts: 1214
Joined: Jun 2004
 
Posted: 2008-01-30 18:15

the competition would be too easy for those who know.

but thanks to those who have said kind words.

also a special thanks to benji, who read and extensively commented on several early versions.


"Game's the same, just got more fierce"

doobs


Total Posts: 823
Joined: Jun 2005
 
Posted: 2008-01-30 18:34
I would like to pre-order as well, but would it be possible to see a TOC?

cpptrader


Total Posts: 86
Joined: Feb 2007
 
Posted: 2008-01-30 18:53
is this what those management-esque papers were going towards? just kidding... looking forward to reading it upon release.

2008 resolution: reinvent back-end paradigm

Baltazar


Total Posts: 1711
Joined: Jul 2004
 
Posted: 2008-01-30 19:11
Bravo filthy,
i look forward reading it

Qui fait le malin tombe dans le ravin

filthy


Total Posts: 1214
Joined: Jun 2004
 
Posted: 2008-01-30 19:16
strangely enough i don't actually have a copy of the TOC. wiley writes this. but i will see if i can find something and post it here.

"Game's the same, just got more fierce"

athletico


Total Posts: 926
Joined: Jun 2004
 
Posted: 2008-01-30 19:35

>> We should all pony up and support our NP brother (or sister) and buy the book (it'll be expensed anyway).

Amen - I've got my advance order in.  I like very much what I've seen so far in the book ... can't wait to read the rest.


doobs


Total Posts: 823
Joined: Jun 2005
 
Posted: 2008-01-30 20:40
Would it be possible to get it autographed?

urnash


Total Posts: 553
Joined: Sep 2006
 
Posted: 2008-01-30 20:48

Yeah sure:

For doobs,

with esteem

filthy

Smiley

EDIT: Sorry, stupid posting. Please ignore...


Assuming normality means never having to say you don’t have enough data. -- J. Michael Steele

doobs


Total Posts: 823
Joined: Jun 2005
 
Posted: 2008-01-30 21:07
Are you kidding? Applause

dgn2


Total Posts: 1924
Joined: May 2004
 
Posted: 2008-01-30 21:12

WHSmith has posted this TOC

Contents

Introduction.The Trading Process.Chapter 1. Option Pricing.The Black Scholes Merton Model.Summary.Chapter 2. Volatility Measurement and Forecasting.Defining and Measuring Volatility.Definition of Volatility.Alternative Volatility Estimators.Close to Close Estimator.Parkinson Estimator.Garman Klass Estimator.Rogers Satchell Estimator.Yang Zhang Estimator.Using Higher Frequency Data.Forecasting Volatility.Maximum Likelihood Estimation.Forecasting the Volatility Distribution.Summary.Chapter 3. Implied Volatility Dynamics.Volatility Level Dynamics.Smile Dynamics.Strengths.Weaknesses.Summary.Chapter 4. Hedging.Ad-Hoc Hedging Methods.Hedging at Regular Intervals.Hedging to a Delta Band.Hedging Based On Underlying Price Changes.Utility Based Methods.The Asymptotic Solution of Whalley and W****tt.The Double Asymptotic Method of Zakamouline.Estimation of Transaction Costs.Strengths.Weaknesses.Aggregation of Options on Different Underlyings.Summary.Chapter 5. Hedged Option Positions.Discrete Hedging and Path Dependency.Volatility Dependency.Summary.Chapter 6. Money Management.Ad-Hoc Schemes.The Kelly Criterion.Good Points.Bad Points.Alternatives to the Kelly Criterion.Trade Sizing in a Continuously Changing Setting.A Simple Approximation.Summary.Chapter 7. Trade Evaluation.General Planning Procedures.Risk Adjusted Performance Measures.The Sharpe Ratio.Alternatives to the Sharpe Ratio.Setting Goals.Persistence of Performance.Relative Persistence.Absolute Persistence.Summary.Chapter 8. Psychology.Self Attribution Bias.Overconfidence.The Availability Heuristic.Short Term Thinking.Loss Aversion.Conservatism and Representativeness.Confirmation Bias.Hindsight Bias.Anchoring and Adjustment.Summary.Chapter 9. Lifecycle of a Trade.Pre-Trade Analysis.June 25th 2007.June 26th 2007.June 27th 2007.June 28th 2007.June 29th 2007.July 2nd 2007.July 3rd 2007.Post-Trade Analysis.Chapter 10. Conclusion.Execution Ability.Concentration.Product Selection.Appendix A. Model Free Implied Variance and Volatility.The VIX Index.Appendix B. Spreadsheet Instructions.Garch.Volatility Cones and Skew and Kurtosis Cones.Daily Option Hedging Simulation.Trade Evaluation.Trading Goals.Corrado Su Skew Curve.Mean Reversion Simulator.Reader Resources.Essential Books.Thought Provoking Books.Useful Websites.References.About the CD-ROM.Index.


...WARNING: I am an optimal f'er

doreilly


Total Posts: 100
Joined: Feb 2006
 
Posted: 2008-01-30 21:36
a little bit of search and replace all..., bla bla bla

Introduction
.....The Trading Process
Chapter 1 Option Pricing
.....The Black Scholes Merton Model
.....Summary
Chapter 2 Volatility Measurement and Forecasting
.....Defining and Measuring Volatility
.....Definition of Volatility
.....Alternative Volatility Estimators
.....Close to Close Estimator
.....Parkinson Estimator
.....Garman Klass Estimator
.....Rogers Satchell Estimator
.....Yang Zhang Estimator
.....Using Higher Frequency Data
.....Forecasting Volatility
.....Maximum Likelihood Estimation
.....Forecasting the Volatility Distribution
.....Summary
Chapter 3 Implied Volatility Dynamics
.....Volatility Level Dynamics
.....Smile Dynamics
.....Strengths
.....Weaknesses
.....Summary
Chapter 4 Hedging
.....Ad-Hoc Hedging Methods
.....Hedging at Regular Intervals
.....Hedging to a Delta Band
.....Hedging Based On Underlying Price Changes
.....Utility Based Methods
.....The Asymptotic Solution of Whalley and W****tt
.....The Double Asymptotic Method of Zakamouline
.....Estimation of Transaction Costs
.....Strengths
.....Weaknesses
.....Aggregation of Options on Different Underlyings
.....Summary
Chapter 5 Hedged Option Positions
.....Discrete Hedging and Path Dependency
.....Volatility Dependency
.....Summary
Chapter 6 Money Management
.....Ad-Hoc Schemes
.....The Kelly Criterion
.....Good Points
.....Bad Points
.....Alternatives to the Kelly Criterion
.....Trade Sizing in a Continuously Changing Setting
.....A Simple Approximation
.....Summary
Chapter 7 Trade Evaluation
.....General Planning Procedures
.....Risk Adjusted Performance Measures
.....The Sharpe Ratio
.....Alternatives to the Sharpe Ratio
.....Setting Goals
.....Persistence of Performance
.....Relative Persistence
.....Absolute Persistence
.....Summary
Chapter 8 Psychology
.....Self Attribution Bias
.....Overconfidence
.....The Availability Heuristic
.....Short Term Thinking
.....Loss Aversion
.....Conservatism and Representativeness
.....Confirmation Bias
.....Hindsight Bias
.....Anchoring and Adjustment
.....Summary
Chapter 9 Lifecycle of a Trade
.....Pre-Trade Analysis
.....June 25th 2007
.....June 26th 2007
.....June 27th 2007
.....June 28th 2007
.....June 29th 2007
.....July 2nd 2007
.....July 3rd 2007
.....Post-Trade Analysis
Chapter 10 Conclusion
.....Execution Ability
.....Concentration
.....Product Selection
.....Appendix A Model Free Implied Variance and Volatility
.....The VIX Index
.....Appendix B Spreadsheet Instructions
.....Garch
.....Volatility Cones and Skew and Kurtosis Cones
.....Daily Option Hedging Simulation
.....Trade Evaluation
.....Trading Goals
.....Corrado Su Skew Curve
.....Mean Reversion Simulator
.....Reader Resources
.....Essential Books
.....Thought Provoking Books
.....Useful Websites
.....References
.....About the CD-ROM
.....Index

doobs


Total Posts: 823
Joined: Jun 2005
 
Posted: 2008-01-30 21:46
Thanks,
Pre-Ordered!

filthy


Total Posts: 1214
Joined: Jun 2004
 
Posted: 2008-01-30 22:11
thanks guys

"Game's the same, just got more fierce"

jaiman


Total Posts: 238
Joined: Oct 2004
 
Posted: 2008-01-30 23:29

does any one have a scanned copy??

 

 

 

 

 

i kid, i kid. Preordered at amazon canada.

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