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.
Описание: In this book, authors Rachev, Kim, Bianchi, and Fabozzi present readers with the notions of risk and their corresponding performance measures. They cover a wide range of applications to financial risk management and share with readers how to implement the applications they bring forth using professional software. Further, they introduce statistical and econometric frameworks for readers to use in modeling asset returns for large financial portfolios, techniques absolutely necessary in todays volatile markets. In addition to theory and application, the authors give readers a host of new approaches to portfolio optimization and trading strategies. They provide methods for computational finance; methods that are extremely useful to financial risk analysts, portfolio managers, and finance professionals. The authors fully cover Stochastic Processes, Continuous Market Models, Discrete Market Models with Volatility Clustering, Option Pricing in Exponential Tempered Stable Models, GARCH Models, Parameter Estimations, and much more.
Описание: A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics.
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: Connolly, K.b. Название: Buying and selling volatility ISBN: 0471968846 ISBN-13(EAN): 9780471968849 Издательство: Wiley Рейтинг: Цена: 13063 р. Наличие на складе: Поставка под заказ.
Описание: This text explains, with the use of diagrams, how one can profit from the volatility (or lack of it) of the price of an instrument, irrespective of the direction of the price. It discusses the connection between volatility and options without recourse to complex maths.
Описание: Quantitative research in finance has spurred innovation in derivatives markets especially when it comes to volatility modeling and credit risk. This book deals with advances in volatility modeling in the context of equity and index derivatives, and covers advances in pricing models for CDOs and portfolio credit derivatives.
Описание: Practitioners are aware that more advanced models are far better suited at pricing options, but they are intimidated by the mathematics of these models, and discouraged at having to write lengthy code to implement them. This book will provide them with the tools and understanding of how to implement these models.
Автор: Sinclair Название: Volatility Trading + CD-ROM ISBN: 0470181990 ISBN-13(EAN): 9780470181997 Издательство: Wiley Рейтинг: Цена: 7563 р. Наличие на складе: Поставка под заказ.
Описание: In "Volatility Trading", Sinclair offers you a quantitative model for measuring volatility in order to gain an edge in your everyday option trading endeavors. With
an accessible, straightforward approach, he guides traders through the basics of option pricing, volatility measurement, hedging, money management, and trade evaluation. In addition,
Sinclair explains the often-overlooked psychological aspects of trading, revealing both how behavioral psychology can create market conditions traders can take advantage of - and
how it can lead them astray.
Psychological biases, he asserts, are probably the drivers behind most sources of edge available to a volatility trader. Your goal, Sinclair explains,
must be clearly defined and easily expressed - if you cannot explain it in one sentence, you probably aren't completely clear about what it is. The same applies to your statistical
If you do not know exactly what your edge is, you shouldn't trade.He shows how, in addition to the numerical evaluation of a potential trade, you should be able to
identify and evaluate the reason why implied volatility is priced where it is, that is, why an edge exists. This means it is also necessary to be on top of recent news stories, sector trends,
and behavioral psychology. Finally, Sinclair underscores why trades need to be sized correctly, which means that each trade is evaluated according to its projected return and risk in the
overall context of your goals.
As the author concludes
while we also need to pay attention to seemingly mundane things like having good execution software, a comfortable office, and getting enough sleep, it is knowledge that is the
ultimate source of edge.So, all else being equal, the trader with the greater knowledge will be the more successful. This book, and its companion CD-ROM, will provide that knowledge.
The CD-ROM includes spreadsheets designed to help you forecast volatility and evaluate trades together with simulation engines.
Описание: This book addresses problems in financial mathematics of pricing and hedging derivative securities in an environment of uncertain and changing market volatility. These problems are important to investors from large trading institutions to pension funds. It presents mathematical and statistical tools that exploit the bursty nature of market volatility. The mathematics is introduced through examples and illustrated with simulations and the modeling approach that is described is validated and tested on market data. The material is suitable for a one semester course for graduate students who have had exposure to methods of stochastic modeling and arbitrage pricing theory in finance. It is easily accessible to derivatives practitioners in the financial engineering industry.
Описание: One of the most striking macroeconomic developments during the last three decades is the rise and persistence of large fiscal deficits in a number of countries. Despite recent major fiscal reforms around the world, many countries suffer from recurrent large fiscal imbalances that often reflect lack of fiscal discipline. Why do some countries have recurrent fiscal deficit or volatility problems, while others do not? What factors are most important in explaining cross-country variation in fiscal outcomes? How are they related to growth or inflation? This book presents new, rigorous, theoretical and empirical studies on these fiscal issues, and highlights social polarization as an essential organizing principle in a political economy approach. Also, it discusses how institutional constraints may favourably affect fiscal dynamics in the presence of social polarization.
Описание: Financial market volatility plays a crucial role in financial decision making, as volatility forecasts are important input parameters in areas such as option pricing, hedging strategies, portfolio allocation and Value-at-Risk calculations. The fact that financial innovations arrive at an ever-increasing rate has motivated both academic researchers and practitioners and advances in this field have been considerable. The use of Stochastic Volatility (SV) models is one of the latest developments in this area. Empirical Studies on Volatility in International Stock Markets describes the existing techniques for the measurement and estimation of volatility in international stock markets with emphasis on the SV model and its empirical application. Eugenie Hol develops various extensions of the SV model, which allow for additional variables in both the mean and the variance equation. In addition, the forecasting performance of SV models is compared not only to that of the well-established GARCH model but also to implied volatility and so-called realised volatility models which are based on intraday volatility measures. The intended readers are financial professionals who seek to obtain more accurate volatility forecasts and wish to gain insight about state-of-the-art volatility modelling techniques and their empirical value, and academic researchers and students who are interested in financial market volatility and want to obtain an updated overview of the various methods available in this area.
Описание: This book presents a factor-based model of the stochastic evolution of the implied volatility surface. The model allows for the integrated and consistent pricing and hedging, risk management, and trading of equity index derivatives as well as volatility derivatives. In the first part, the book develops a unifying theory for the analysis of contingent claims under both the real-world measure and the risk-neutral measure in an environment of stochastic implied volatility. On the basis of transaction data, the second part of the book provides extensive statistical analyses on the dynamics of the implied volatility surface of German DAX options and proposes a four-factor model to describe its evolution. The model is validated and tested on market data. The final part deals with potential applications of the model in the fields of exotic option pricing, value at risk, and volatility trading.
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