Volatility as an asset class: Obvious benefits and hidden risks
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 possibl...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Frankfurt am Main
PL Academic Research
2015
|
| Schriftenreihe: | Polish studies in economics
Volume 4 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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 |
| Beschreibung: | Description based on publisher supplied metadata and other sources |
| Beschreibung: | 1 online resource (180 pages) |
| ISBN: | 9783653047875 |
Internformat
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| 500 | |a Description based on publisher supplied metadata and other sources | ||
| 520 | |a 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 | ||
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Datensatz im Suchindex
| _version_ | 1804176359821410304 |
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| any_adam_object | |
| author | Jabłecki, Juliusz 1984- |
| author_GND | (DE-588)136388701 (DE-588)170630803 |
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| building | Verbundindex |
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| dewey-full | 332.6457 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6457 |
| dewey-search | 332.6457 |
| dewey-sort | 3332.6457 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
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| id | DE-604.BV043620416 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:30:56Z |
| institution | BVB |
| isbn | 9783653047875 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-029034475 |
| oclc_num | 908685997 |
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| owner | DE-83 |
| owner_facet | DE-83 |
| physical | 1 online resource (180 pages) |
| psigel | ZDB-30-PQE ZDB-114-LAC ebook |
| publishDate | 2015 |
| publishDateSearch | 2015 |
| publishDateSort | 2015 |
| publisher | PL Academic Research |
| record_format | marc |
| series | Polish studies in economics |
| series2 | Polish studies in economics |
| spelling | Jabłecki, Juliusz 1984- Verfasser (DE-588)136388701 aut Volatility as an asset class Obvious benefits and hidden risks Frankfurt am Main PL Academic Research 2015 © 2015 1 online resource (180 pages) txt rdacontent c rdamedia cr rdacarrier Polish studies in economics Volume 4 Description based on publisher supplied metadata and other sources 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 Derivative securities Options (Finance) Portfolio management Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Zinsstruktur (DE-588)4067855-6 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf Hedging (DE-588)4123357-8 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Volatilität (DE-588)4268390-7 s Derivat Wertpapier (DE-588)4381572-8 s Optionspreistheorie (DE-588)4135346-8 s Hedging (DE-588)4123357-8 s Portfolio Selection (DE-588)4046834-3 s Zinsstruktur (DE-588)4067855-6 s 1\p DE-604 Kokoszczyński, Ryszard Sonstige (DE-588)170630803 oth Sakowski, Paweł Sonstige oth Erscheint auch als Druck-Ausgabe Jablecki, Juliusz Volatility as an Asset Class : Obvious Benefits and Hidden Risks 978-3-631-65576-4 Polish studies in economics Volume 4 (DE-604)BV041838426 4 https://www.peterlang.com/search?f_0=identifier&level=parent&q_0=9783653047875 Verlag Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Jabłecki, Juliusz 1984- Volatility as an asset class Obvious benefits and hidden risks Polish studies in economics Derivative securities Options (Finance) Portfolio management Derivat Wertpapier (DE-588)4381572-8 gnd Optionspreistheorie (DE-588)4135346-8 gnd Zinsstruktur (DE-588)4067855-6 gnd Volatilität (DE-588)4268390-7 gnd Hedging (DE-588)4123357-8 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| subject_GND | (DE-588)4381572-8 (DE-588)4135346-8 (DE-588)4067855-6 (DE-588)4268390-7 (DE-588)4123357-8 (DE-588)4046834-3 |
| title | Volatility as an asset class Obvious benefits and hidden risks |
| title_auth | Volatility as an asset class Obvious benefits and hidden risks |
| title_exact_search | Volatility as an asset class Obvious benefits and hidden risks |
| title_full | Volatility as an asset class Obvious benefits and hidden risks |
| title_fullStr | Volatility as an asset class Obvious benefits and hidden risks |
| title_full_unstemmed | Volatility as an asset class Obvious benefits and hidden risks |
| title_short | Volatility as an asset class |
| title_sort | volatility as an asset class obvious benefits and hidden risks |
| title_sub | Obvious benefits and hidden risks |
| topic | Derivative securities Options (Finance) Portfolio management Derivat Wertpapier (DE-588)4381572-8 gnd Optionspreistheorie (DE-588)4135346-8 gnd Zinsstruktur (DE-588)4067855-6 gnd Volatilität (DE-588)4268390-7 gnd Hedging (DE-588)4123357-8 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| topic_facet | Derivative securities Options (Finance) Portfolio management Derivat Wertpapier Optionspreistheorie Zinsstruktur Volatilität Hedging Portfolio Selection |
| url | https://www.peterlang.com/search?f_0=identifier&level=parent&q_0=9783653047875 |
| volume_link | (DE-604)BV041838426 |
| work_keys_str_mv | AT jabłeckijuliusz volatilityasanassetclassobviousbenefitsandhiddenrisks AT kokoszczynskiryszard volatilityasanassetclassobviousbenefitsandhiddenrisks AT sakowskipaweł volatilityasanassetclassobviousbenefitsandhiddenrisks |