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akki
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Joined: September 10th, 2008, 3:05 am

Skew

August 20th, 2010, 3:42 am

HiI would like to read more about skew - computing implied skew, realized skew, trading skew. Please share any references to books/papers that might cover these topics.Thanks!
 
frolloos
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Joined: September 27th, 2007, 5:29 pm
Location: Netherlands

Skew

August 20th, 2010, 4:32 am

you can try the book "Inside volatility arbitrage" by Javaheri
 
frolloos
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Joined: September 27th, 2007, 5:29 pm
Location: Netherlands

Skew

August 20th, 2010, 4:44 am

and Schouten's "Moment swaps" paper might be interesting too.
 
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Hansi
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Joined: January 25th, 2010, 11:47 am

Skew

August 20th, 2010, 7:46 am

QuoteOriginally posted by: frolloosyou can try the book "Inside volatility arbitrage" by JavaheriSeconded. Also check out Euan Sinclair's volatility and option trading books.
 
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Vegawizard
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Joined: November 27th, 2006, 10:46 am

Skew

August 20th, 2010, 9:07 am

I would recomend this paper as a good background, especially the concept of so called "sticky strike vs sticky deltahttp://www.ederman.com/new/docs/risk-regimes_of_volatility.pdf
 
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akki
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Joined: September 10th, 2008, 3:05 am

Skew

August 22nd, 2010, 10:16 pm

Thank you everyone for the suggestions. I looked at the book Inside Volatility Arbitrage, I covered around 100 pages so far and I liked the breadth of the models and techniques covered by the book. That was very useful, but I think I've not learnt a lot about skew. I want to be able to answer some questions:1. Origins of skew and kurtosis 2. Estimation of skew - different methods and drawbacks3. Relation between skew and Vega4. Trading Strategies for skew (I will read the Euan Sinclair book - Vol Trading)And more questions like these. Thanks!
 
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woohoo
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Joined: March 29th, 2010, 8:25 am

Skew

August 23rd, 2010, 5:31 am

it looks like u are interested from a trading point of view.why don't u start with Nassim Taleb's Dynamic hedging - if u understand a digital, u will have understood skewand then rebonato's Hedger and the Fox is a good one for a quantitative follow through.