Volatility as an Asset Class
by Robert McCaughey 2020-08-15 16:29:24
image1
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 c... Read more
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. Less
  • Publication date
  • ISBN
  • January 15, 2016
  • bee08512-642e-4513-9066-2d9001a9ee4f
Compare Prices
Available Discount
No Discount available
Related Books