Volatility Surface and Term Structure: High-profit Options Trading Strategies

Author:   Kin Keung Lai (Shaanxi Normal University, China) ,  Jerome Yen (University of Macau, Macau) ,  Shifei Zhou (City University of Hong Kong) ,  Hao Wang (City University of Hong Kong)
Publisher:   Taylor & Francis Ltd
ISBN:  

9781138916265


Pages:   98
Publication Date:   21 December 2017
Format:   Paperback
Availability:   In Print   Availability explained
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Volatility Surface and Term Structure: High-profit Options Trading Strategies


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Author:   Kin Keung Lai (Shaanxi Normal University, China) ,  Jerome Yen (University of Macau, Macau) ,  Shifei Zhou (City University of Hong Kong) ,  Hao Wang (City University of Hong Kong)
Publisher:   Taylor & Francis Ltd
Imprint:   Routledge
Weight:   0.190kg
ISBN:  

9781138916265


ISBN 10:   1138916269
Pages:   98
Publication Date:   21 December 2017
Audience:   College/higher education ,  Tertiary & Higher Education ,  Undergraduate
Format:   Paperback
Publisher's Status:   Active
Availability:   In Print   Availability explained
This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us.

Table of Contents

1. Introduction 2. A Novel Model-free Term Structure for Stock Prediction 3. An Adaptive Correlation Heston Model for Stock Prediction 4. The Algorithm to Control Risk Using Option 5. Option Strategies: Evaluation Criterion and Optimization 6. A Novel Mean Reversion-based Local Volatility Model 7. Regression-based Correlation Modeling for Heston Model 8. Index Option Strategies Comparison and Self-Risk Management 9. Call-Put Term Structure Spread-based HSI Analysis

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Author Information

Shifei Zhou received his master degree in Computer Science and Technology from Central South University in Changsha, China. He is currently pursuing PhD at Department of Management Sciences of City University of Hong Kong. Hong Kong. His research interests mainly focus on financial behavior, derivatives, and risk management. Hao Wang received his bachelor’s degree in Computer Science and Technology from Northwestern Poly-technical University in Xi’an, China. He is currently pursuing PhD at Department of Management Sciences of City University of Hong Kong, Hong Kong. His research interests mainly focus on risk management, financial derivatives and financial engineering. Kin Keung Lai received his PhD at Michigan State University in USA in 1977 and is currently a Chair Professor of Management Science at City University of Hong Kong. Prior to his current post, he was a Senior Operational Research Analyst at Cathay Pacific Airways and an Area Manager for Marketing Information System at Union Carbide Eastern. He is the President of the Asia-Pacific Industrial Engineering and Management Society, the general secretary of Hong Kong Operational Research Society and a council member of the International Federation of Operations Research Societies. He is also a co-editor of 8 journals including Journal of the Operational Research Society and the managing editor of book series ""Lecture Notes in Decision Science"". He has published five monographs and over 100 journal papers. His main research interests include supply chain and operation management, forecasting, computational intelligence and risk analysis. Jerome Yen received his PhD at University of Arizona with major Systems Engineering and Management Information Systems. He is now a Professor of Accounting and Finance department of Tung Wah College. Prior to his current post, he was a senior member of Academic Advisory Committee PRMIA, the President of Asia Pacific Association of Financial Engineering, and Co-Chair of First Asia Pacific Conference on Financial Engineering held in Hong Kong 2008. His teaching areas include Derivatives, Investment Analysis and Portfolio Management, Risk Management, Exotic Options and Structured products, and China Financial Markets. He has published over 50 journal papers. His main research interests include financial engineering, investment management, market and credit risk management, financial product development, trading strategies and hedge funds.

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