Name: The Variance Risk Premium (en Inglés)
SKU: 69217988
Price: 638.11 MXN
Availability: InStock
Author: Graham S. Hawthorn
ISBN: 9798896654292

portada The Variance Risk Premium (en Inglés)

Formato

Libro Físico

Editorial

NobleTrex Press

Autor

Graham S. Hawthorn

Idioma

Inglés

N° páginas

292

Encuadernación

Tapa Blanda

ISBN13

9798896654292

The Variance Risk Premium (en Inglés)

Graham S. Hawthorn (Autor) · NobleTrex Press · Tapa Blanda

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Reseña del libro "The Variance Risk Premium (en Inglés)"

Systematic short-volatility investing can look deceptively simple—until volatility regimes shift, convex losses compound, and implementation details overwhelm the premium you thought you were harvesting. This book is written for quantitative portfolio managers and systematic traders who want a rigorous, practical framework for extracting the variance risk premium while respecting the realities of nonlinear risk, leverage, liquidity, and drawdown control. It guides readers from first principles to institutional execution. You will learn how realized and implied variance are defined and measured, how the variance risk premium emerges and changes across regimes, and how to convert that insight into robust trading signals. The book then develops portfolio construction methods for short-vol programs, with particular emphasis on volatility targeting, exposure guardrails, VIX futures curve dynamics, carry and roll yield, and curve-aware allocation. Just as importantly, it addresses survival: drawdown-aware sizing, tail-risk hedging, stress testing, execution under pressure, and disciplined backtesting to reduce bias and overfitting. The result is a complete blueprint for designing, validating, and governing a rules-based short-volatility program. Readers should be comfortable with derivatives, portfolio risk concepts, and basic quantitative methods. What distinguishes this treatment is its integration of theory, implementation, and operational governance into a single systematic playbook.