Erschienen: 30.04.2015 Abbildung von Jablecki / Wójcik | Volatility as an Asset Class | 1. Auflage | 2015 | 4 |

Jablecki / Wójcik / Kokoszczynski

Volatility as an Asset Class

Obvious Benefits and Hidden Risks

lieferbar, ca. 10 Tage

Buch. Softcover


178 S.

In englischer Sprache

Peter Lang. ISBN 978-3-631-65576-4

Format (B x L): 14,8 x 21 cm

Gewicht: 240 g

Das Werk ist Teil der Reihe: Polish Studies in Economics; 4


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.

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