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frolloos
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Volatility books 2016

November 11th, 2015, 4:23 pm

Can't wait for 2016, according to Amazon books on volatility by following authors slated for publication: Dupire, Bergomi, Derman. Any others I'm missing?
Last edited by frolloos on November 10th, 2015, 11:00 pm, edited 1 time in total.
 
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Alan
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Volatility books 2016

November 11th, 2015, 4:56 pm

My new one will be available then -- I attach the latest TOC.
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frolloos
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Volatility books 2016

November 11th, 2015, 6:00 pm

Thanks for posting/sharing - knew you were working on part II, but first time I see the TOC. Especially curious to see/read Chapters 2, 4, 7, 8, and 11.
 
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Engy
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Volatility books 2016

November 13th, 2015, 10:00 am

Hi AlanThe table of content for your second volume looks great. I can?t wait to read your book!It?s also nice that you included some of your previous papers ? it is handy to have them in one place
 
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Volatility books 2016

November 13th, 2015, 10:38 am

QuoteOriginally posted by: frolloosThanks for posting/sharing - knew you were working on part II, but first time I see the TOC. Especially curious to see/read Chapters 2, 4, 7, 8, and 11.I think for chapter 11 I'm going to need to update my dissipated differential geometry knowledge:) Schaum's "Differential Geometry"?
Last edited by Cuchulainn on November 12th, 2015, 11:00 pm, edited 1 time in total.
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AnalyticalVega
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Volatility books 2016

November 13th, 2015, 2:35 pm

The New Lewis book looks like a pure Quant/Math book. Not much use for traders IMO. For trading you need to make good statistical use of a mean reverting process. Talking about standard stochastic volatility/square root processes has no value for trading.
 
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Alan
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Volatility books 2016

November 13th, 2015, 3:05 pm

frolloos, Artur, Daniel, AnalyticalVega,thanks for all the comments. Re "no value for trading", I think that's a little harsh although I agree that quants/math finance types will be much more interested than most traders.A good guide is: if you liked my (year 2000) stochastic volatility book, you'll probably like this new one and correspondingly if you didn't.Personally, I like to trade the VIX-related derivatives and ETF's and found the historical studies I did for the new book helpful there (thoseare Appendixes in Ch. 4). Some of the statistical inference material (Hidden Markov models) might be useful in that regard, as well as thejoint SPX/VIX modeling. ===========================================================================================p.s. Daniel, if you're asking about dif. geometry background references, I found helpful Struik ("Lectures on Classical Differential Geometry"), Schutz ("A first course on general relativity"), and some online notes by Markus Deserno ("Notes on differential geometry")
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Volatility books 2016

November 13th, 2015, 4:03 pm

Alan,In have Struik as well. And Guggenheimer.
Step over the gap, not into it. Watch the space between platform and train.
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AnalyticalVega
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Volatility books 2016

November 13th, 2015, 8:17 pm

QuoteOriginally posted by: Alanfrolloos, Artur, Daniel, AnalyticalVega,thanks for all the comments. Re "no value for trading", I think that's a little harsh although I agree that quants/math finance types will be much more interested than most traders.A good guide is: if you liked my (year 2000) stochastic volatility book, you'll probably like this new one and correspondingly if you didn't.Personally, I like to trade the VIX-related derivatives and ETF's and found the historical studies I did for the new book helpful there (thoseare Appendixes in Ch. 4). Some of the statistical inference material (Hidden Markov models) might be useful in that regard, as well as thejoint SPX/VIX modeling. ===========================================================================================p.s. Daniel, if you're asking about dif. geometry background references, I found helpful Struik ("Lectures on Classical Differential Geometry"), Schutz ("A first course on general relativity"), and some online notes by Markus Deserno ("Notes on differential geometry")From the trading perspective you would want to find the model that 'closely' approximates the market most of the time. You would keep that model until you found a better one but generally the model wouldn't change.The next step is to use statistical inference tools to find the most profitable strategies and highly repeatable patterns. Once enough tests are run with big enough sample spaces we get to short term statistical convergence.At this point you can include the converged numbers as coefficients in the model to skew it to a more accurate representation of the market. Does your new book have material on these steps? 1) Finding an accurate underlying model with statistical tests showing the level of accuracy2) Using statistical inference to find profitable strategies and repeating patterns3) Finding the short term (i.e. 2 weeks to 2 months) statistical convergence4) Integrating the short term convergence into the underlying model
 
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Alan
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Volatility books 2016

November 14th, 2015, 12:43 am

There's a good amount of 1). Re 2), some VIX-related ETF and futures positions are shown to be significantly profitable over time, andtheir behavior is also discussed conditional on having the futures in backwardation or not. But, of course, you have to assess all that with therisks that are shown. You won't find the remaining things you are seeking.
Last edited by Alan on November 13th, 2015, 11:00 pm, edited 1 time in total.
 
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AnalyticalVega
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Volatility books 2016

November 14th, 2015, 11:29 pm

QuoteOriginally posted by: AlanThere's a good amount of 1). Re 2), some VIX-related ETF and futures positions are shown to be significantly profitable over time, andtheir behavior is also discussed conditional on having the futures in backwardation or not. But, of course, you have to assess all that with therisks that are shown. You won't find the remaining things you are seeking.Thanks. When do you expect the book to be available? Would say there are more trading applications in the second book as compared to the first one?
 
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Alan
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Volatility books 2016

November 15th, 2015, 12:26 am

Looks like sometime 1st quarter 2016 at this point, and 'yes' to your second question.
 
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Alan
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Volatility books 2016

May 15th, 2016, 2:46 pm

Sorry for the delay, but it's finally out at various amazon's, for example amazon.com: Option Valuation under Stochastic Volatility II
To search for it at European amazon's, probably best to use isbn's:
ISBN-10: 096763721X
ISBN-13: 9780967637211

Please find the final TOC attached  
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Last edited by Alan on July 15th, 2016, 12:52 am, edited 3 times in total.
 
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frolloos
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Volatility books 2016

May 15th, 2016, 5:11 pm

Congratulations with your second book! I've just ordered it.
 
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Alan
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Volatility books 2016

May 15th, 2016, 6:16 pm

Thank you so much! You're probably the first!
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