Central to all investment allocation and risk management is being clear on what risks one is being compensated for in the reward delivered. In an era of increasingly interlaced markets, assessing this correctly is paramount, but often used measures such as volatility can in practice be inadequate and misleading without other serious and often more important considerations.

Unperturbed by Volatility takes a deep look at the essential features of real-world financial markets, analyzing the strengths and the limitations of various metrics, techniques and methods, where these can be tweaked to work, where metrics such as volatility break down, and where in practice we must seek constructions that make such errors manageable.

Primary themes also include the limits of data, and the role of market extremes - both up and down and in both risk and opportunity. Relevant issues are diagnosed within a consistent framework that forces market realities to the fore and from which useful conclusions can be drawn. All available market instruments are put to full use.

Unperturbed by Volatility is built on strong theoretical grounds and practical insights. Drawing on applicable elements from diverse quantitative disciplines, from probability theory to statistical tools to quantitative finance and others, the book requires some prior knowledge but its delivery is not heavily mathematical. The simple, robust and useful is given preference over the technically fancy.

Preface and Introduction
Notations, Conventions and Abbreviations

Market Realities
1.1 Market Truth, 1.2 Normality and Reality, 1.3 Power Laws, 1.4 Convergence, 1.5 Can One Number Fit All?, 1.6 Cognitive Biases and Data, 1.7 Orders of magnitude
Realized Volatility
2.1 Consistency and Robustness Under Real Data, 2.2 Standard Deviation versus Mean Absolute Deviation, 2.3 Characteristics of Realized Volatility, 2.4 Modeling of Spot Returns and Volatility,
Convexity and Implied Volatility
3.1 A Little History, 3.2 Convexity and Volatility, 3.3 Complete, Completed and Incomplete Markets, 3.4 Implied Volatility, Preferences and Risk Premia, 3.5 Replication, and the Case for Semi-static Hedges, 3.6 Volatility Convexity, 3.7 Other Topics
Implied Skew: The Market’s Opinion
4.1 Skew 101, 4.2 Implied Distributions, 4.3 Implied Volatility and Fat Tails
Variance Instruments
5.1 Volatility Digest, 5.2 Variance Swaps, 5.3 Volatility Modelling and Market Models, 5.4 Vol of Vol and Variance Dynamics, 5.5 Volatility Swaps, 5.6 Variations on Variance
VIX
6.1 VIX: A Brief History, 6.2 VIX in a Nutshell, 6.3 VIX Futures, 6.4 VIX Options, 6.5 Rules of Thumb, 6.6 VIX ETFs and ETNs
Implied Volatility and Risk Premia
7.1 Premia, Risk Transfers and Mean-Mode, 7.2 Convexity, Bounds and Moments, 7.3 Correlation, Dependency and Mean-Mode
Foundations of Tail Risk Hedging
8.1 Tail Events and Tail Risk Hedging, 8.2 Characteristics of a Tail Hedge, 8.3 Executional Considerations, 8.4 Motives, Framings and Merits for Tail Risk Hedging
Correlation
9.1 Dependence, Causality and Data, 9.2 Some Correlations and Their Practical Uses, 9.3 Correlation and Portfolio Allocation of Correlation, 9.4 Trading Correlation
Diversification of Risk

10.1 Diversity, Risk and Opportunity, 10.2 Knowledge and Assumption: More vs Less, 10.3 Center and Tails, 10.4 Volatility Targets, 10.5 Risk Parity
Concluding Thoughts

Apendix: Fat Tails, Power Laws and Distributions
References

"Synopsis" may belong to another edition of this title.

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Unperturbed By Volatility: A Practitioner's Guide To Risk

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