Volatility: new estimation techniques for pricing derivatives
Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on real-life situations.
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
London
Risk Books
1998
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Zusammenfassung: | Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on real-life situations. |
| Beschreibung: | 464 S. graph. Darst. |
| ISBN: | 1899332464 |
Internformat
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Datensatz im Suchindex
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|---|---|
| adam_text | CONTENTS
Foreword 5
Authors 9
I. MAKING GARCH WORK: TESTS,
REFINEMENTS AND APPLICATIONS
Introduction 19
Robert Jarrow
1 A Survey of Arch Models: Properties, Estimation and Testing 23
Anil K. Bera and Matthew L Higgins
2 ARCH Modelling in Finance 59
Tim Bollerslev, Ray Y. Chou and Kenneth F. Kroner
3 Modelling Stochastic Volatility: A Review and Comparative Study 95
Stephen J. Taylor
4 Multivariate Garch Modelling of Asset Returns 109
Kenneth F. Kroner and Victor K. Ng
5 Index Option Pricing with Stochastic Volatility and the Value of
Accurate Variance Forecasts 117
Robert F. Engle, Alex Kane and Jaesun Noh
6 Markov Switching in Garch Processes and Mean Reverting
Stock Market Volatility 129
Michael Dueker
II. EXPLORING VOLATILITY
PATTERNS OVER TIME
Introduction 141
Robert Jarrow
7 Information Noise and Stock Return Volatility: Evidence
from Germany 143
G. Geoffrey Booth and Mustafa Chowdhury
8 The Impact of Firm Specific News on Implied Volatilities 147
Monique W.M. Donders and Ton C.F. Vorst
9 Calendar Adjusted Volatilities 155
Galen Burghardt and Gerald A. Hanweck, Jr.
10 Intraday Volatility in the Stock Index and Stock Index
Futures Markets 163
Kalok Chan, K.C. Chan and G. Andrew Karolyi
11 The Tertn Structure of Volatility Implied by Foreign
Exchange Options 179
Xinzhong Xu and Stephen J. Taylor
III. FORECASTING VOLATILITIES WITH
IMPLIED VOLATILITIES
Introduction 193
Robert Jarrow
12 Forecasting Futures Market Volatility 197
Theodore E. Day and Craig M. Lewis
13 The Informational Content of Implied Volatility 211
Linda Canina and Stephen Figlewski
14 Forecasting Stock Return Variance: Toward an Understanding
of Stochastic Implied Volatilities 225
Christopher G. Lamoureux and William D. Lastrapes
15 Inferring Future Volatility from the Information in Implied
Volatility in Eurodollar Options: A New Approach 243
Kaushik I. Amin and Victor K. Ng
IV. INTERRELATED INTERNATIONAL
MARKETS: PRICE AND VOLATILITY
SPILLOVERS
Introduction 263
Robert Jarrow
16 Relationship between Volatility and Expected Returns across
International Stock Markets 267
Panayiotis Theodossiou and Unro Lee
17 Volatility Reversion and Correlation Structure of Returns in
Major International Stock Markets 275
Panayiotis Theodossiou, Emel Kahya, Gregory Koutmos and
Andreas Christofs
18 International Linkages in the Nikkei Stock Index
Futures Markets 285
G. Geoffrey Booth, Tae Hwy Lee and Yiuman Tse
19 Price and Volatility Spillovers in Scandinavian Stock Markets 295
G. Geoffrey Booth, Teppo Martikainen and Yiuman Tse
20 Common Volatility and Volatility Spillovers between US and
Eurodollar Interest Rates: Evidence from the Futures Market 303
Yiuman Tse and G. Geoffrey Booth
V. STOCHASTIC VOLATILITY MODELS:
THE NEXT GENERATION?
Introduction 315
Robert Jarrow
21 Option Pricing with Random Volatilities in Complete Markets 317
Larry Eisenberg and Robert Jarrow
22 Stock Price Distributions with Stochastic Volatility:
An Analytic Approach 325
Elias M. Stein and Jeremy C. Stein
23 A Closed Form Solution for Options with Stochastic Volatility
with Applications to Bond and Currency Options 341
Steven L. Heston
24 The Garch Option Pricing Model 351
Jin Chuan Duan
VI. SMILES, SKEWS AND STOCHASTIC
VOLATILITIES
Introduction 365
Robert Jarrow
25 Implied Trinomial Trees of the Volatility Smile 367
Emanuel Derman, Iraj Kam and Neil Chriss
26 Implied Volatility Skews and Stock Index Skewness and
Kurtosis implied by S P 500 Index Option Prices 381
Charles J. Corrado and Tie Su
27 Garch Gamma 391
Robert F. Engle and Joshua V. Rosenberg
28 Derivatives on Market Volatility: Hedging Tools Long Overdue 401
Robert E. Whaley
VII. A PRACTITIONER S PERSPECTIVE:
WHAT S AHEAD?
Introduction 415
Robert Jarrow
29 Towards a Theory of Volatility Trading 417
Peter Carr and Dilip Madan
30 Pricing and Hedging with Smiles 429
Bruno Dupire
31 Stochastic Implied Trees: Arbitrage Pricing with Stochastic
Term and Strike Structure of Volatility 435
Emanuel Derman and Iraj Kani
Index 461
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| id | DE-604.BV012055814 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:20:52Z |
| institution | BVB |
| isbn | 1899332464 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-008159505 |
| oclc_num | 40337633 |
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| owner_facet | DE-Aug4 |
| physical | 464 S. graph. Darst. |
| publishDate | 1998 |
| publishDateSearch | 1998 |
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| publisher | Risk Books |
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| spelling | Volatility new estimation techniques for pricing derivatives ed. by Robert Jarrow London Risk Books 1998 464 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on real-life situations. Actions (Titres de société) - Prix - Prévision - Modèles mathématiques Analyse stochastique ram Econometrische modellen gtt Effectenhandel gtt Finances - Modèles mathématiques ram Instruments dérivés (Finances) - Prix - Modèles mathématiques Instruments financiers - Prix - Modèles mathématiques ram Marchés à terme ram Options (Finances) - Prix - Modèles mathématiques Options (finances) - Prix - Modèles mathématiques ram Portfolio-analyse gtt Prijsbewegingen gtt Prix - Fixation ram Termijnhandel gtt Volatilité (finances) ram Mathematisches Modell Derivative securities Prices Mathematical models Options (Finance) Prices Mathematical models Stock price forecasting Mathematical models Jarrow, Robert A. 1952- Sonstige (DE-588)129325600 oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008159505&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Volatility new estimation techniques for pricing derivatives Actions (Titres de société) - Prix - Prévision - Modèles mathématiques Analyse stochastique ram Econometrische modellen gtt Effectenhandel gtt Finances - Modèles mathématiques ram Instruments dérivés (Finances) - Prix - Modèles mathématiques Instruments financiers - Prix - Modèles mathématiques ram Marchés à terme ram Options (Finances) - Prix - Modèles mathématiques Options (finances) - Prix - Modèles mathématiques ram Portfolio-analyse gtt Prijsbewegingen gtt Prix - Fixation ram Termijnhandel gtt Volatilité (finances) ram Mathematisches Modell Derivative securities Prices Mathematical models Options (Finance) Prices Mathematical models Stock price forecasting Mathematical models |
| title | Volatility new estimation techniques for pricing derivatives |
| title_auth | Volatility new estimation techniques for pricing derivatives |
| title_exact_search | Volatility new estimation techniques for pricing derivatives |
| title_full | Volatility new estimation techniques for pricing derivatives ed. by Robert Jarrow |
| title_fullStr | Volatility new estimation techniques for pricing derivatives ed. by Robert Jarrow |
| title_full_unstemmed | Volatility new estimation techniques for pricing derivatives ed. by Robert Jarrow |
| title_short | Volatility |
| title_sort | volatility new estimation techniques for pricing derivatives |
| title_sub | new estimation techniques for pricing derivatives |
| topic | Actions (Titres de société) - Prix - Prévision - Modèles mathématiques Analyse stochastique ram Econometrische modellen gtt Effectenhandel gtt Finances - Modèles mathématiques ram Instruments dérivés (Finances) - Prix - Modèles mathématiques Instruments financiers - Prix - Modèles mathématiques ram Marchés à terme ram Options (Finances) - Prix - Modèles mathématiques Options (finances) - Prix - Modèles mathématiques ram Portfolio-analyse gtt Prijsbewegingen gtt Prix - Fixation ram Termijnhandel gtt Volatilité (finances) ram Mathematisches Modell Derivative securities Prices Mathematical models Options (Finance) Prices Mathematical models Stock price forecasting Mathematical models |
| topic_facet | Actions (Titres de société) - Prix - Prévision - Modèles mathématiques Analyse stochastique Econometrische modellen Effectenhandel Finances - Modèles mathématiques Instruments dérivés (Finances) - Prix - Modèles mathématiques Instruments financiers - Prix - Modèles mathématiques Marchés à terme Options (Finances) - Prix - Modèles mathématiques Options (finances) - Prix - Modèles mathématiques Portfolio-analyse Prijsbewegingen Prix - Fixation Termijnhandel Volatilité (finances) Mathematisches Modell Derivative securities Prices Mathematical models Options (Finance) Prices Mathematical models Stock price forecasting Mathematical models |
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