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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!

you can try the book "Inside volatility arbitrage" by Javaheri

and Schouten's "Moment swaps" paper might be interesting too.

QuoteOriginally posted by: frolloosyou can try the book "Inside volatility arbitrage" by JavaheriSeconded. Also check out Euan Sinclair's volatility and option trading books.

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

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!

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.