Systematic Options Trading: Evaluating, Analyzing, and Profiting from Mispriced Option Opportunities

Systematic Options Trading: Evaluating, Analyzing, and Profiting from Mispriced Option Opportunities

by Sergey Izraylevich Ph.D., Vadim Tsudikman
     
 

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Sophisticated options traders need systematic, reliable approaches for identifying the best option combinations, underlying assets, and strategies. This book makes these approaches available for the first time. Leading-edge traders and researchers Sergey Izraylevich and Vadim Tsudikman treat the option market as a whole: an unlimited set of trading variants

Overview

Sophisticated options traders need systematic, reliable approaches for identifying the best option combinations, underlying assets, and strategies. This book makes these approaches available for the first time. Leading-edge traders and researchers Sergey Izraylevich and Vadim Tsudikman treat the option market as a whole: an unlimited set of trading variants composed of all option combinations that can be constructed at any specific time moment (using all possible strategies and underlying assets). They introduce a system that permits thorough analysis and comparison of many option combinations in terms of both expected profitability and potential risk. For the first time, they formalize and classify more than a dozen criteria intended to select preferable trading alternatives from a vast quantity of potential opportunities, and show how to apply multiple valuation criteria concurrently to select the best possible trades. By applying these principles consistently, traders can systematically identify subtle price distortions using proven statistical parameters. They can gain a clear and consistent advantage over competing traders, transforming option trading into a continuous process of profit generation with tightly controllable parameters of risk and profitability.

Product Details

ISBN-13:
9780131388338
Publisher:
Pearson Education
Publication date:
08/11/2010
Sold by:
Barnes & Noble
Format:
NOOK Book
Pages:
288
File size:
7 MB

Meet the Author

Sergey Izraylevich, Ph.D., chairman of the board of High Technology Invest Inc., began his career as a lecturer at The Hebrew University of Jerusalem and Tel-Hay Academic College. He received numerous awards for academic excellence, including Golda Meir’s prize and the Max Shlomiok honor award of distinction. Sergey has traded options for more than 10 years and engages in creating automated systems for the algorithmic trading of options. He is the author of numerous articles published in highly rated, peer-reviewed scientific journals. Sergey is a columnist for Futures magazine.

 

Vadim Tsudikman, president of High Technology Invest Inc., is a financial consultant and investment advisor specializing in derivatives valuation, hedging, and capital allocation in extreme market environments. With 12 years of options trading experience, he develops complex trading systems based on multicriteria analyses and genetic optimization algorithms. In co-authorship with Sergey Izraylevich, Vadim contributes articles to Futures magazine on the cutting-edge issues related to options pricing, volatility, and risk management.

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