Del 4 - Polish Studies in Economics
Volatility as an Asset Class
Obvious Benefits and Hidden Risks
Häftad, Engelska, 2015
Av Juliusz Jabłecki, Ryszard Kokoszczyński, Paweł Sakowski, Robert Ślepaczuk, Piotr Wójcik, Juliusz Jablecki, Ryszard Kokoszczynski, Pawel Sakowski, Robert Slepaczuk, Piotr Wojcik, Juliusz Jab¿ecki, Ryszard Kokoszczy¿ski, Robert ¿Lepaczuk, Pawe¿ Sakowski
849 kr
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Fri frakt för medlemmar vid köp för minst 249 kr.Volatility derivatives are an important group of financial instruments and their list is much longer than volatility index futures and options. This book reviews methods used for measurement, estimation and forecasting volatility and presents major classes of volatility derivatives and their possible applications in investment strategies and portfolio optimization. Since volatility is not constant, its term structure and the phenomenon of the volatility risk premium are discussed in view of the permanently instable relation between realized and implied volatility. The study proposes a method to use this information in the process of forecasting future values of volatility.
Produktinformation
- Utgivningsdatum2015-04-30
- Mått148 x 210 x 11 mm
- Vikt240 g
- FormatHäftad
- SpråkEngelska
- SeriePolish Studies in Economics
- Antal sidor180
- FörlagPeter Lang AG
- ISBN9783631655764