Volatility as an Asset Class (Paperback)
Language: English
Published by Peter Lang AG, Bern, 2015
- First Edition
- Softcover
- New
Seller: Grand Eagle Retail, Bensenville, IL, U.S.A.Grand Eagle Retail
AbeBooks seller since October 12, 2005
Condition: New
£ 64.51
Quantity: 1 available
Add to basketItem description from seller
Paperback. 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. Volatility derivatives are today an important group of financial instruments. This book presents an overview of their major classes and their possible applications in investment strategies and portfolio optimization. Volatility is not constant so the book presents its term structure and its potential use in forecasting volatility. Shipping may be from multiple locations in the US or from the UK, depending on stock availability.…
Seller Inventory # 9783631655764
- Title
- Volatility as an Asset Class (Paperback)
- Author
- Juliusz Jablecki
- Publisher
- Peter Lang AG, Bern
- Publication year
- 2015
- Condition
- new
- Binding
- Paperback
- Language
- English
- ISBN 10
- 3631655762
- ISBN 13
- 9783631655764
- Edition
- 1st Edition
"Synopsis" may belong to another edition of this title.
About the Author
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 the title" may belong to another edition of this title.
Grand Eagle Retail
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AbeBooks seller since October 12, 2005
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