Volatility as an Asset Class: Obvious Benefits and Hidden Risks: 4 (Polish Studies in Economics) - Softcover
Synopsis
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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About the Author
Juliusz Jabłecki is assistant professor at the University of Warsaw and economic expert at the Polish central bank.
Ryszard Kokoszczyński is Professor of Economics at the University of Warsaw and Head of Research at the Polish central bank.
Paweł Sakowski is assistant professor at the University of Warsaw.
Robert Ślepaczuk is quantitative fund manager at a private investment company and assistant professor at the University of Warsaw.
Piotr Wójcik is assistant professor at the University of Warsaw.
"About this title" may belong to another edition of this title.
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Volatility as an Asset Class: Obvious Benefits and Hidden Risks (Polish Studies in Economics)
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Peter Lang GmbH, Internationaler Verlag der Wissenschaften, 2015
ISBN 10: 3631655762
ISBN 13: 9783631655764
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Volatility as an Asset Class: Obvious Benefits and Hidden Risks (Polish Studies in Economics)
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Peter Lang GmbH, Internationaler Verlag der Wissenschaften, 2015
ISBN 10: 3631655762
ISBN 13: 9783631655764
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Volatility as an Asset Class: Obvious Benefits and Hidden Risks (Polish Studies in Economics)
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Volatility as an Asset Class: Obvious Benefits and Hidden Risks - Polish Studies in Economics 4
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Volatility as an Asset Class: Obvious Benefits and Hidden Risks - Polish Studies in Economics 4
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Volatility as an Asset Class
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Volatility as an Asset Class : Obvious Benefits and Hidden Risks
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Volatility as an Asset Class: Obvious Benefits and Hidden Risks (Polish Studies in Economics)
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Volatility as an asset class : obvious benefits and hidden risks. Juliusz JabÅecki/Ryszard KokoszczyÅski/PaweÅ Sakowski/Robert Ålepaczuk/Piotr Wójcik / Polish studies in economics ; Volume 4
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ISBN 10: 3631655762
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Broschur. Condition: Wie neu. [1. Aufl.]. 178 Seiten : Illustrationen ; 21 cm Tadellos. - Contents -- Introduction9 -- 1 Volatility and Its Estimation 15 -- 11 Introduction15 -- 12 Volatility measurement 17 -- 121 Alternative volatility estimators 20 -- 122 High-frequency data24 -- 123 Concluding remarks26 -- 13 Volatility forecasting 27 -- 131 Time series analysis 28 -- 132 Forecasts implied by option prices32 -- 133 Concluding remarks36 -- 14 Volatility surface and option pricing36 -- 141 Local volatility model38 -- 142 Stochastic volatility models41 -- 143 Concluding remarks42 -- 15 Conclusions 43 -- 2 O verview o f volatility derivatives 45 -- 21 Volatility exposure in a delta-hedged option45 -- 22 Variance swaps 47 -- 23 VIX and VIX futures 53 -- 24 VIX options 57 -- 25 The economics of volatility derivatives 63 -- 3 O p tio n s D elta H edging w ith N o O ptions at A ll65 -- 31 Introduction65 -- 32 Options as volatility instruments - replicating realized volatility 66 -- 33 Volatility arbitrage based on various frequencies of data 66 -- 34 Methodology and data 69 -- 35 Empirical research 75 -- 351 S&P500 index - the most developed market 75 -- 352 The case for other developed markets (FTSE* NIKKEI225 DAX) 77 -- 353 The case for emerging markets (WIG20, KOSPI, BOVES PA) 80 -- 36 Summary81 4 V olatility D erivatives in P ortfolio O p tim iz a tio n 83 -- 41 Introduction83 -- 42 The merits of investing in volatility 83 -- 43 Volatility in portfolio optimization 85 -- 431 Benchmark portfolio 85 -- 432 Long position in implied volatility 86 -- 433 Short position in realized volatility 91 -- 434 A combination of long and short position in volatility 94 -- 44 Summary 94 -- 5 Benefits o f U sing Volatility F utures in Investm ent -- Strategies97 -- 51 Introduction97 -- 52 Volatility as a traded asset98 -- 53 Markowitz model - a short review 101 -- 54 Black-Littermann model - a short review 104 -- 55 Markowitz model - application 107 -- 551 Data used107 -- 552 Simulation108 -- 553 Empirical results 110 -- 56 Black-Litterman model - application118 -- 561 Data used 118 -- 562 Simulation 118 -- 563 Empirical results 120 -- 57 Summary125 -- 6 P redictive P roperties o f th e Volatility T erm S tru ctu re 127 -- 61 Introduction127 -- 62 Volatility term structure of VIX futures - predictive -- properties based on regression model127 -- 621 Motivation127 -- 622 Literature review 128 -- 623 Methodology and data130 -- 624 Results 131 -- 625 Remarks135 -- 63 Predicting VIX - an investment model approach 136 -- 631 Motivation136 -- 632 Data description 137 -- 633 Methodology138 ISBN 9783631655764 Sprache: Englisch Gewicht in Gramm: 238. Seller Inventory # 1076630
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Volatility as an Asset Class : Obvious Benefits and Hidden Risks
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ISBN 13: 9783631655764
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