Volatility as an Asset Class: A Guide to Buying, Selling and Trading Third-generation Volatility Products

The most notable recent change is the opportunity to trade volatility; there are now volatility, corridor and covariance swaps, as well as gamma and correlation trades available. The market for these contracts is expected to grow exponentially over the next few years. In fact it is quite possible that they will grow almost as quickly as the credit derivatives market, which means that the market desperately needs such a comprehensive reference guide. Written from the practitioner's perspective, but with important academic contributions, this book is wholly devoted to the trading of volatility as an asset class. This new guide covers: Trading of volatility and related issues (eg, measurement, forecasting, modelling and hedging) 3rd generation volatility products including volatility, variance, gamma and correlation swaps; How volatility can be measured, what it means, and how it can be used; Reviews the market and compares volatility and fixed income asset classes; Shows how to build volatility surfaces; Examines the reliability of the VIX and describes the VIX and other CBOE-traded volatility products; Pricing and hedging variance swaps; Trend following in terms of a volatility strategy How the models are calibrated to the market. This book is recommended reading for traders, risk managers, hedge fund managers, front-, middle- and back-office personnel and software designers, or anyone looking to take advantage of this growth market.