Volatility as an Asset Class : Obvious Benefits and Hidden Risks Paperback / softback
by Juliusz Jablecki, Ryszard Kokoszczynski, Pawel Sakowski, Robert Slepaczuk, Piotr Wojcik
Part of the Polish Studies in Economics series
Paperback / softback
Description
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.
Information
-
Out of stock
- Format:Paperback / softback
- Pages:180 pages
- Publisher:Peter Lang AG
- Publication Date:30/04/2015
- Category:
- ISBN:9783631655764
Information
-
Out of stock
- Format:Paperback / softback
- Pages:180 pages
- Publisher:Peter Lang AG
- Publication Date:30/04/2015
- Category:
- ISBN:9783631655764
