Volatility Trading + CDROM by Euan Sinclair, Ph.D.

hedgeguy · Post by **hedgeguy** » Fri Jul 06, 2012 12:25 pm

Bought the first book (recently). Liked it. Looking forward to the next edition. Interesting to hear that there will be some work on HF based volatility estimation (pretty much exclusively what we do). Will you be making reference to/discussing intraday volatility modelling in any detail?

rp6 · Post by **rp6** » Sun Jul 08, 2012 9:40 am

Anyone know where i can find the spreadsheets that go with this book. I bought it 2nd hand and the guy lost the CD.

Thanks

filthy · Post by **filthy** » Mon Jul 09, 2012 1:32 am

hedgeguy,

there is a very little more on hf vol estimation. just a very little. i just don't think it helps when trading options. low frequency vol is a much better estimator of high frequency vol than the other way round. and if you are trying to price option it is the vol to expiry that is most important.

obv hf vol is useful in other contexts such as hf trading and hedging.

rp6,

i can email them to you but they are really garbage.

rp6 · Post by **rp6** » Mon Jul 09, 2012 12:13 pm

that's ok my mind is a trash can anyway. Sending you my email.

cheers

finitud · Post by **finitud** » Fri Aug 24, 2012 4:10 pm

Hi filthy,

Is the second edition coming up soon? I'm dying to read the book but can maybe wait a bit longer for the 2nd ed.

Can help with the proof reading as well.

Cheers

filthy · Post by **filthy** » Sat Aug 25, 2012 8:40 pm

i'm about a month from finishing the second edition. i think there will be about 90 new pages and a lot of the rest is re-written. i think wiley will release it early next year but i'm not sure yet.

finitud · Post by **finitud** » Thu Aug 30, 2012 5:36 pm

Can't wait now ${L_SMILIES_SMILE}$

I'll start with your Option Trading book and see how it goes from there.

filthy · Post by **filthy** » Fri Aug 31, 2012 7:18 pm

this may sound odd coming from the author but don't do that.

"option trading", while in most ways a better book than "volatility trading" is probably not what you are looking for. it was meant to be a replacement for natenberg but if you are

here you are probably beyond that.

put your email in profile and i'll send you some stuff

andrew · Post by **andrew** » Fri Sep 07, 2012 1:59 am

I kind of agree with filthy. I read "volatility trading" (and couldn't put it down) then bought "option trading" but found it not as useful after already reading "volatility trading" (not trying to dupe filthy out of the small rebates he gets on the sales).

Thought I'd just add my opinion/experiences.

quantz · Post by **quantz** » Fri Sep 07, 2012 10:22 am

Looking forward to reading the 2nd ed!