Quick Answer
Description
Sheldon Natenberg's Option Volatility and Pricing: Advanced Trading Strategies and Techniques (2nd Edition) serves as an authoritative guide to derivatives pricing, volatility dynamics, and operational risk management. Across 25 structured chapters and, the text progresses from foundational contract mechanics and forward pricing through Black-Scholes and binomial option pricing models, sensitivity measures (delta, gamma, theta, vega, and rho), dynamic hedging protocols, and synthetic equivalencies.
This expanded second edition delivers in-depth analysis of complex spreading techniques, arbitrage boundaries, early exercise considerations for American options, position management, and market realities. It features specialized coverage of volatility skews, stock index futures and options, and exchange-traded volatility contracts such as the VIX. Grounded in floor-trading practice rather than purely abstract theory, the volume provides derivatives professionals and finance scholars with intuition-based risk control tools for live trading environments.
Institutional Use
Universities, quantitative finance graduate programs, proprietary trading firms, and exchange training academies routinely adopt Option Volatility and Pricing as foundational curriculum and desk reference material. Academic institutions utilize the text in advanced undergraduate, MBA, and Master of Financial Engineering courses covering derivative securities and risk management. In commercial environments, trading firms and market-making desks deploy the title for new-analyst training programs to establish core competencies in theoretical pricing models, dynamic delta hedging, and volatility skew navigation.
Product Details
| ISBN-13 | 9780071818773 |
|---|---|
| ISBN-10 | 0071818774 |
| Edition | 2nd Edition |
| Authors | Sheldon Natenberg |
| Publisher | McGraw-Hill Education |
| Publication date | 2014-11-21 |
| Format | Hardcover |
| Page count | 592 pages |
| Language | English |
| Category | Finance, Real Estate & Investing |
| List price | $54.99 / copy |
| Min. order | 5 copies |
| Condition | New |
Table of Contents
Table of Contents
- Chapter 1: Financial Contracts
- Chapter 2: Forward Pricing
- Chapter 3: Contract Specifications and Option Terminology
- Chapter 4: Expiration Profit and Loss
- Chapter 5: Theoretical Pricing Models
- Chapter 6: Volatility
- Chapter 7: Risk Measurement I
- Chapter 8: Dynamic Hedging
- Chapter 9: Risk Measurement II
- Chapter 10: Introduction to Spreading
- Chapter 11: Volatility Spreads
- Chapter 12: Bull and Bear Spreads
- Chapter 13: Risk Considerations
- Chapter 14: Synthetics
- Chapter 15: Option Arbitrage
- Chapter 16: Early Exercise of American Options
- Chapter 17: Hedging with Options
- Chapter 18: The Black-Scholes Model
- Chapter 19: Binomial Option Pricing
- Chapter 20: Volatility Revisited
- Chapter 21: Position Analysis
- Chapter 22: Stock Index Futures and Options
- Chapter 23: Models and the Real World
- Chapter 24: Volatility Skews
- Chapter 25: Volatility Contracts
- Afterword: A Final Thought
- Appendix A: A Glossary of Option Terminology
- Appendix B: Some Useful Math
Key Topics
- Option Pricing Models (Black-Scholes and Binomial)
- Implied and Historical Volatility Analysis
- Dynamic Hedging and Delta Neutrality
- Risk Measurement and Greeks (Delta, Gamma, Theta, Vega, Rho)
- Option Spreads and Synthetic Positions
- American Option Early Exercise Boundaries
- Stock Index Futures, Options, and Volatility Contracts (VIX)
Who This Is For
- Proprietary Traders and Market Makers
- Quantitative Analysts and Risk Managers
- Graduate Students in Financial Engineering and Computational Finance
- Institutional Portfolio Managers and Derivatives Desks
- University Finance Faculty and MBA Students
Institutional & Bulk Ordering
- Minimum order: 5 copies, with tiered pricing at higher quantities
- Purchase orders and Net-30 terms accepted for qualifying institutions
- Tax-exempt certificates accepted for qualifying accounts
- Free worldwide shipping, no sales tax
Edition & Identifier Check
Always confirm this exact ISBN-13 and edition (9780071818773) against your syllabus or procurement request before ordering — editions of this title are not interchangeable.
Frequently Asked Questions
Q: What edition is this volume, and how does it expand upon earlier work?
A: This is the 2nd Edition published by McGraw-Hill Education. It expands upon the original work with updated material on volatility skews, index options and futures, early exercise mechanics for American options, and dedicated volatility contracts such as VIX products.
Q: How is the book structured across its?
A: The book contains 25 core chapters beginning with financial contracts and forward pricing, moving through pricing models, Greeks, dynamic hedging, and spreading strategies, and concluding with market models, volatility skews, and mathematical appendices.
Q: Which derivatives instruments and asset classes are analyzed?
A: The text examines listed equity options, physical commodity and financial futures options, stock index futures and options, synthetic contracts, and volatility derivatives.
Q: What institutional programs commonly procure this text?
A: It is widely procured by university libraries, graduate financial engineering programs, investment banks, proprietary trading groups, and exchange training programs for foundational derivatives education.
Q: What is the minimum order quantity for this title?
A: The minimum order is 5 copies. Tiered pricing applies at 5, 10, and 25 copies; orders of 100 or more copies are quoted directly by email.
Q: Is this the correct edition for my program or syllabus?
A: This listing is ISBN 9780071818773 (ISBN-10 0071818774). Please confirm this exact identifier and edition against your syllabus or procurement request before ordering, as editions of this title are not interchangeable.
Q: Do you accept purchase orders and offer Net-30 terms?
A: Yes. Purchase orders and Net-30 terms are accepted for qualifying institutions, and tax-exempt certificates are accepted at checkout.
Q: Do you ship internationally?
A: Yes, Global Academic Supply offers free worldwide shipping with no sales tax on qualifying orders.