Praise for VOLATILITY TRADING
"Written by s mathematically literate trader, this concise guide
is full of valuable insights -not just for volatility traders but
for quantitative traders too. From Zakamouline's optimal
delta-hedging approximation to Browne's optimal trade-sizing
policy, there is much interesting technical material that is put to
work to provide a framework for thinking clearly about practical
problems such as: When should we hedge? Should we double up or cut
or position? How much capital should we allocate to a trade in the
first place? This book raises the discussion of quantitative
trading to a new level and I strongly recommend it."--Jim Gatheral,
author of "The Volatility Surface: A Practitioner's Guide"
"Euan Sinclair's "Volatility Trading" fills a neglected gap in
financial literature on trading volatility with options and updates
and expands on basic works with contemporary strategies, insights,
and technical detail. "Volatility Trading" is uncommonly clear,
examples are well chosen, and explanations are thorough without
being tedious. Not since Allan J. Baird's "Option Market Making"
has there been a work on volatility strategies as well written and
practical. Sinclair's modern treatment is a tremendous resource for
options market makers and clients alike as they inescapably take a
view on volatility with each position. "Volatility Trading" is
destined to become a classic and is highly recommended for students
and practitioners alike."--James N. Ward, Head of High-Yield
Investments, AXA Investment Managers Paris, and Professor of
Finance, The American University of Paris
"I wish this book had been available when I started. I had to
discover itscontents the hard way. It nicely illustrates what
successful plain vanilla option trading is all about: a sound
quantitative approach coupled with a few robust principles. It also
should help to dispel the myth surrounding volatility trading: that
is an obscure and highly complex field of phynancial voodoo that
only a gifted few have the ability to understand and
master.--FDAXHunter, founding member of nuclearphynance.com
"Euan Sinclair provides a unique and valuable insight into the
art and science of option trading. With clarity and purpose, he
demonstrates how the successful option trader judiciously selects
the appropriate quantitative tools for the job-neither too
rudimentary nor too complex but just right for each stage of the
trading process. I strongly recommend this book to volatility
traders and all options who wish to see 'behind the curtain' of
option pricing."--Carl Mason, Chief U.S. Equity Derivatives
Strategist, Morgan Stanley
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