Summary: QUANTITATIVE FINANCE VOLUME 4 (OCTOBER 2004) C51C54 F E A T U R E
TAYLOR & FRANCIS LTD tandf.co.uk
A look ahead at options pricing and
Capital Fund Management,
Finance Concepts S.A.R.L., and New York University, USA
Academics on sabbatical leave are usually `taking stock'
of their previous research, thinking about writing a book
or starting new projects. I have chosen a rather indirect
path to enlightment: to spend my sabbatical in a hedge
fund trading options and forecasting volatility.
Hopefully, this request of the Editor-in-Chief of
Quantitative Finance for writing a `general article on
volatility' will be an opportunity to reflect a bit on the
interrelation of option pricing theory and quantitative
trading strategies as I see them today.
First, the usual disclaimer: a state-of-the-art survey
paper on volatility trading is impossible to write, at least