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Arbitrage Research and Trading

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(1,437 colour pages, much software, e-Book & soft cover)

See also here for the Table of Contents

4_Basic_Options_Structures_Pay_Out_Profiles_and_Usage.pdf 4_8_5_CalendarTrades_Diagonals_Curves_and_Correlation.pdf 6_5_Fair_Value_Reality_for_Options_Trading.pdf 7_7_3_A_First_Model_for_the_Time_Evolution_of_Uncertainty.pdf 9_4_3_Gamma.pdf 10_Options_Risk_Part_2.pdf 10_4_1_Un_Weighted_Uniformly_Weighted_Scanario_Analysis.pdf 10_7_9_Single_Period_Dynamic_Hedge_Optimisation.pdf 13_1_How_to_Decide_on_Early_Excercise.pdf 14_5_4_Equity_Options_Market_Dyanimc.pdf 14_6_14_2_Pricing_a_Vanilla_Cap.pdf 14_6_27_IR_A_Real_Trade_Call_Spread.pdf 15_3_2_1_Futures_A_Real_Trade_The_Situation.pdf 16_1_2_1_Asian_Discrete_Formula.pdf 16_1_7_7_Yield_Curve_Spread_Opt.pdf 17_3_2_Contracts_Deal_Breakers.pdf 19_4_2_Monte_Carlo_Simple_Option.pdf 19_6_3_Finite_Difference_Black_Scholes.pdf 20_3_2_Vol_Skew.pdf 20_4_9_Hist_Vol_OHLC_Opt_Pricing.pdf 20_7_Trading_Vol.pdf 20_8_P_and_L_Vol.pdf 20_Volatility.pdf 21_Profit_at_Risk_Optimal_P_and_L.pdf 22_2_5_5_Does_BSM_Work_Example1.pdf 22_4_2_Synthetic_Replication_Delta_Gamma_Pyramid.pdf 22_12_Trading_Directional_Vol_vs_Arb.pdf 22_14_3_Real_Proof_P_and_L_Back_Testing.pdf

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Last modified: July 25, 2011