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About this product
- DescriptionVolatility 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 t constant, its term structure and the phemen 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.
- Author BiographyJuliusz Jablecki is assistant professor at the University of Warsaw and economic expert at the Polish central bank. Ryszard Kokoszczynski is Professor of Economics at the University of Warsaw and Head of Research at the Polish central bank. Pawel Sakowski is assistant professor at the University of Warsaw. Robert Slepaczuk is quantitative fund manager at a private investment company and assistant professor at the University of Warsaw. Piotr Wojcik is assistant professor at the University of Warsaw.
- Author(s)Juliusz Jablecki,Pawel Sakowski,Ryszard Kokoszczynski
- PublisherPeter Lang AG
- Date of Publication28/04/2015
- SubjectEconomics: Professional & General
- Series TitlePolish Studies in Economics
- Series Part/Volume Number4
- Country of PublicationSwitzerland
- First Published2015
- ImprintPeter Lang AG
- Weight240 g
- Width148 mm
- Height210 mm
- Spine13 mm
- Edition Statement1st New edition
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