Stalking the Black Swan: Research and Decision Making in a World of Extreme Volatility, Posner Kenneth A.
Автор: Rachev, Svetlozar T. Kim, Young Shim Bianchi, Mich Название: Financial models with levy processes and volatility clustering ISBN: 0470482354 ISBN-13(EAN): 9780470482353 Издательство: Wiley Рейтинг: Цена: 13464.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: * In this book, authors Rachev, Kim, Bianchi, and Fabozzi present readers with the notions of risk and their corresponding performance measures.
Автор: Fengler Matthias R. Название: Semiparametric Modeling of Implied Volatility ISBN: 3540262342 ISBN-13(EAN): 9783540262343 Издательство: Springer Рейтинг: Цена: 8384.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The implied volatility surface is a key financial variable for the pricing and the risk management of plain vanilla and exotic options portfolios alike. Consequently, statistical models of the implied volatility surface are of immediate importance in practice: they may appear as estimates of the current surface or as fully specified dynamic models describing its propagation through space and time.This book fills a gap in the financial literature by bringing together both recent advances in the theory of implied volatility and refined semiparametric estimation strategies and dimension reduction methods for functional surfaces: the first part of the book is devoted to smile-consistent pricing appoaches. The theory of implied and local volatility is presented concisely, and vital smile-consistent modeling approaches such as implied trees, mixture diffusion, or stochastic implied volatility models are discussed in detail. The second part of the book familiarizes the reader with estimation techniques that are natural candidates to meet the challenges in implied volatility modeling, such as the rich functional structure of observed implied volatility surfaces and the necessity for dimension reduction: non- and semiparametric smoothing techniques.The book introduces Nadaraya-Watson, local polynomial and least squares kernel smoothing, and dimension reduction methods such as common principle components, functional principle components models and dynamic semiparametric factor models. Throughout, most methods are illustrated with empirical investigations, simulations and pictures.
Автор: Warner, Adam Название: Options volatility trading ISBN: 0071629653 ISBN-13(EAN): 9780071629652 Издательство: McGraw-Hill Рейтинг: Цена: 8578.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Research and floor-level knowledge of how volatile markets behave and how to best profit from them
Автор: Hilpisch Yves Название: Listed Volatility and Variance Derivatives ISBN: 1119167914 ISBN-13(EAN): 9781119167914 Издательство: Wiley Рейтинг: Цена: 9979.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Leverage Python for expert-level volatility and variance derivative trading Listed Volatility and Variance Derivatives is a comprehensive treatment of all aspects of these increasingly popular derivatives products.
Описание: A leading expert unveils his unique methodology for options trading Options provide a high leverage approach to trading that can significantly limit the overall risk of a trade or provide additional income.
Автор: Stephen Satchell Название: Forecasting Volatility in the Financial Markets, ISBN: 075066942X ISBN-13(EAN): 9780750669429 Издательство: Elsevier Science Рейтинг: Цена: 13109.00 р. Наличие на складе: Поставка под заказ.
Описание: Forecasting Volatility in the Financial Markets, Third Editionassumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting-edge modelling and forecasting techniques. It provides a survey of ways to measure risk and define the different models of volatility and return. Editors John Knight and Stephen Satchell have brought together an impressive array of contributors who present research from their area of specialization related to volatility forecasting. Readers with an understanding of volatility measures and risk management strategies will benefit from this collection of up-to-date chapters on the latest techniques in forecasting volatility. Chapters new to this third edition:* What good is a volatility model? Engle and Patton* Applications for portfolio variety Dan diBartolomeo* A comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices Rob Cornish* Volatility modeling and forecasting in finance Xiao and Aydemir* An investigation of the relative performance of GARCH models versus simple rules in forecasting volatility Thomas A. Silvey
Автор: Derman Emanuel Название: The Volatility Smile ISBN: 1118959167 ISBN-13(EAN): 9781118959169 Издательство: Wiley Рейтинг: Цена: 10771.00 р. Наличие на складе: Поставка под заказ.
Описание: The Volatility Smile The Black-Scholes-Merton option model was the greatest innovation of 20th century finance, and remains the most widely applied theory in all of finance.
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