Listed Volatility and Variance Derivatives, Hilpisch Yves
Автор: Bauwens Название: Handbook of Volatility Models and Their Applications ISBN: 0470872519 ISBN-13(EAN): 9780470872512 Издательство: Wiley Рейтинг: Цена: 25560 р. Наличие на складе: Есть у поставщика Поставка под заказ.
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.
Автор: Stephen Satchell Название: Forecasting Volatility in the Financial Markets, ISBN: 075066942X ISBN-13(EAN): 9780750669429 Издательство: Elsevier Science Рейтинг: Цена: 14358 р. Наличие на складе: Нет в наличии.
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: Sinclair Название: Volatility Trading + CD-ROM ISBN: 0470181990 ISBN-13(EAN): 9780470181997 Издательство: Wiley Рейтинг: Цена: 9953 р. Наличие на складе: Есть у поставщика 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.
Описание: The essential resource for the successful option trader High Performance Options Trading offers a fresh perspective on trading options from a seasoned options trader programmer/engineer, Leonard Yates. Drawing on twenty-five years of experience as an options trader and software programmer, Yates has written this straightforward guide.
Автор: Fengler Matthias R. Название: Semiparametric Modeling of Implied Volatility ISBN: 3540262342 ISBN-13(EAN): 9783540262343 Издательство: Springer Рейтинг: Цена: 9182 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: 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: 14586 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.
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