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Customer Review

73 of 76 people found the following review helpful
3.0 out of 5 stars Hugely promising; far too many errors, December 19, 2009
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This review is from: Volatility Trading, + CD-ROM (Hardcover)
I was very excited about Sinclair's "Volatility Trading" about halfway into it and enthusiastically recommended it to many of my colleagues. There are several great points here, all of which are covered in a concise manner geared toward professionals (which is itself refreshing, and far too rare in the genre). Highlights include a nice overview of various volatility estimators (including some newer ones), a nifty intuitive derivation of BSM, a very interesting treatment of near-"optimal" hedging methods, a discussion of how to quantify market impact, and a useful chapter on the path-dependency of derivative payouts.

However, after finishing the book, I had to temper my early recommendation severely: there are far too many obvious errors, which makes me suspect there are probably also many other, less-obvious ones (and causes me to wonder whether all the five-star reviewers here actually read the entire book carefully). A few of the most egregious examples:

* The butterfly payout diagram on p. 77 is upside down!
* Implied and realized vol terms are reversed in formula 5.1.
* "w" in formula 6.2 should be "l".
* p. 105 asks us to "differentiate with respect to x", but there is no "x". "f" is intended.
* Formula 6.11 is rendered nonsense by the very strange term (I am assuming a bizarre typo): "ln[()] 1".
* Missing parens around a subtraction on p. 113, giving the wrong result.
* Typos in formula 7.7 render it useless ("GC" in the numerator means GG, and "GC" in the demoninator means GB).

I searched for an errata list online but to no avail. I think a revised edition is badly in order.
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Showing 1-5 of 5 posts in this discussion
Initial post: Dec 21, 2009, 9:04:50 AM PST
Steve,
Thanks for taking the time to read the book so carefully and also for recommending it to others. I wouldn't be too hard on the other reviewers as a number of them also pointed out errors to me. I should have made a list available online by now. I'll post one today on www. nuclearphynance.com and will speak to wiley about setting up a web page for the book.

I hope that on balance the book was still worthwhile to you.

In reply to an earlier post on Jul 15, 2010, 9:40:00 PM PDT
Euan,

May I know where I can download the errata? Thanks.

In reply to an earlier post on Aug 15, 2010, 7:38:22 AM PDT
eshopper says:
http://nuclearphynance.com/Show%20Post.aspx?PostIDKey=137487

In reply to an earlier post on Feb 15, 2016, 12:10:12 PM PST
Rom says:
Did you ever setup a web page with errata? I am not buying a book filled with errors. Thanks.

In reply to an earlier post on Feb 15, 2016, 12:16:52 PM PST
There is a new edition.
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