Description

Book 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.

Table of Contents
Contents: Volatility and its estimation – Overview of volatility derivatives – Volatility derivatives in investment strategies and portfolio optimization – Predictive properties and modelling of volatility term structure – Volatility risk premium – Modern asset allocation.

Volatility as an Asset Class: Obvious Benefits

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    A Paperback / softback by Juliusz Jabłecki, Ryszard Kokoszczyński, Paweł Sakowski

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      View other formats and editions of Volatility as an Asset Class: Obvious Benefits by Juliusz Jabłecki

      Publisher: Peter Lang AG
      Publication Date: Publication Date: 30/04/2015
      ISBN13: 9783631655764, 978-3631655764
      ISBN10: 3631655762

      Description

      Book 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.

      Table of Contents
      Contents: Volatility and its estimation – Overview of volatility derivatives – Volatility derivatives in investment strategies and portfolio optimization – Predictive properties and modelling of volatility term structure – Volatility risk premium – Modern asset allocation.

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