juliusz jablecki (6 Ergebnisse)

Zustand: New. pp. 178.

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Broschur. Zustand: Wie neu. [1. Aufl.]. 178 Seiten : Illustrationen ; 21 cm Tadellos. - Contents -- Introduction9 -- 1 Volatility and Its Estimation 15 -- 11 Introduction15 -- 12 Volatility measurement 17 -- 121 Alternative volatility estimators 20 -- 122 High-frequency data24 -- 123 Concluding remarks26 -- 13 Volatility forecasting 27 -- 131 Time series analysis 28 -- 132 Forecasts implied by option prices32 -- 133 Concluding remarks36 -- 14 Volatility surface and option pricing36 -- 141 Local volatility model38 -- 142 Stochastic volatility models41 -- 143 Concluding remarks42 -- 15 Conclusions 43 -- 2 O verview o f volatility derivatives 45 -- 21 Volatility exposure in a delta-hedged option45 -- 22 Variance swaps 47 -- 23 VIX and VIX futures 53 -- 24 VIX options 57 -- 25 The economics of volatility derivatives 63 -- 3 O p tio n s D elta H edging w ith N o O ptions at A ll65 -- 31 Introduction65 -- 32 Options as volatility instruments - replicating realized volatility 66 -- 33 Volatility arbitrage based on various frequencies of data 66 -- 34 Methodology and data 69 -- 35 Empirical research 75 -- 351 S&P500 index - the most developed market 75 -- 352 The case for other developed markets (FTSE* NIKKEI225 DAX) 77 -- 353 The case for emerging markets (WIG20, KOSPI, BOVES PA) 80 -- 36 Summary81 4 V olatility D erivatives in P ortfolio O p tim iz a tio n 83 -- 41 Introduction83 -- 42 The merits of investing in volatility 83 -- 43 Volatility in portfolio optimization 85 -- 431 Benchmark portfolio 85 -- 432 Long position in implied volatility 86 -- 433 Short position in realized volatility 91 -- 434 A combination of long and short position in volatility 94 -- 44 Summary 94 -- 5 Benefits o f U sing Volatility F utures in Investm ent -- Strategies97 -- 51 Introduction97 -- 52 Volatility as a traded asset98 -- 53 Markowitz model - a short review 101 -- 54 Black-Littermann model - a short review 104 -- 55 Markowitz model - application 107 -- 551 Data used107 -- 552 Simulation108 -- 553 Empirical results 110 -- 56 Black-Litterman model - application118 -- 561 Data used 118 -- 562 Simulation 118 -- 563 Empirical results 120 -- 57 Summary125 -- 6 P redictive P roperties o f th e Volatility T erm S tru ctu re 127 -- 61 Introduction127 -- 62 Volatility term structure of VIX futures - predictive -- properties based on regression model127 -- 621 Motivation127 -- 622 Literature review 128 -- 623 Methodology and data130 -- 624 Results 131 -- 625 Remarks135 -- 63 Predicting VIX - an investment model approach 136 -- 631 Motivation136 -- 632 Data description 137 -- 633 Methodology138 ISBN 9783631655764 Sprache: Englisch Gewicht in Gramm: 238.

PAP. Zustand: New. New Book. Shipped from UK. Established seller since 2000.

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