The Resource Volatility as an asset class : obvious benefits and hidden risks, Juliusz Jabłecki, Ryszard Kokoszczyński, Paweł Sakowski, Robert Śleparczuk, Piotr Wójcik
Volatility as an asset class : obvious benefits and hidden risks, Juliusz Jabłecki, Ryszard Kokoszczyński, Paweł Sakowski, Robert Śleparczuk, Piotr Wójcik
Resource Information
The item Volatility as an asset class : obvious benefits and hidden risks, Juliusz Jabłecki, Ryszard Kokoszczyński, Paweł Sakowski, Robert Śleparczuk, Piotr Wójcik represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute.This item is available to borrow from 1 library branch.
Resource Information
The item Volatility as an asset class : obvious benefits and hidden risks, Juliusz Jabłecki, Ryszard Kokoszczyński, Paweł Sakowski, Robert Śleparczuk, Piotr Wójcik represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute.
This item is available to borrow from 1 library branch.
- Summary
- 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.--
- Language
- eng
- Edition
- First edition.
- Extent
- 178 pages
- Contents
-
- Introduction
- Volatility and its estimation
- Overview of volatility derivatives
- Options delta hedging with no options at all
- Volatility derivatives in portfolio optimization
- Benefits of using volatility futures in investment strategies
- Predictive properties of the volatility term structure
- Conclusions
- List of gures
- List of tables
- Bibliography
- Isbn
- 9783631655764
- Label
- Volatility as an asset class : obvious benefits and hidden risks
- Title
- Volatility as an asset class
- Title remainder
- obvious benefits and hidden risks
- Statement of responsibility
- Juliusz Jabłecki, Ryszard Kokoszczyński, Paweł Sakowski, Robert Śleparczuk, Piotr Wójcik
- Language
- eng
- Summary
- 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.--
- Assigning source
- Provided by publisher
- Cataloging source
- DLC
- http://library.link/vocab/creatorDate
- 1984-
- http://library.link/vocab/creatorName
- Jablecki, Juliusz
- Index
- no index present
- Literary form
- non fiction
- Nature of contents
- bibliography
- http://library.link/vocab/relatedWorkOrContributorName
-
- Kokoszczyński, Ryszard
- Sakowski, Paweł
- Śleparczuk, Robert
- Wójcik, Piotr
- Series statement
- Polish studies in economics
- Series volume
- Volume 5
- http://library.link/vocab/subjectName
-
- Derivative securities
- Options (Finance)
- Portfolio management
- Label
- Volatility as an asset class : obvious benefits and hidden risks, Juliusz Jabłecki, Ryszard Kokoszczyński, Paweł Sakowski, Robert Śleparczuk, Piotr Wójcik
- Bibliography note
- Includes bibliographical references
- Carrier category
- volume
- Carrier category code
-
- nc
- Carrier MARC source
- rdacarrier.
- Content category
- text
- Content type code
-
- txt
- Content type MARC source
- rdacontent.
- Contents
- Introduction -- Volatility and its estimation -- Overview of volatility derivatives -- Options delta hedging with no options at all -- Volatility derivatives in portfolio optimization -- Benefits of using volatility futures in investment strategies -- Predictive properties of the volatility term structure -- Conclusions -- List of gures -- List of tables -- Bibliography
- Control code
- FIEb17715672
- Dimensions
- 21 cm.
- Edition
- First edition.
- Extent
- 178 pages
- Isbn
- 9783631655764
- Media category
- unmediated
- Media MARC source
- rdamedia.
- Media type code
-
- n
- System control number
- (OCoLC)933294259
- Label
- Volatility as an asset class : obvious benefits and hidden risks, Juliusz Jabłecki, Ryszard Kokoszczyński, Paweł Sakowski, Robert Śleparczuk, Piotr Wójcik
- Bibliography note
- Includes bibliographical references
- Carrier category
- volume
- Carrier category code
-
- nc
- Carrier MARC source
- rdacarrier.
- Content category
- text
- Content type code
-
- txt
- Content type MARC source
- rdacontent.
- Contents
- Introduction -- Volatility and its estimation -- Overview of volatility derivatives -- Options delta hedging with no options at all -- Volatility derivatives in portfolio optimization -- Benefits of using volatility futures in investment strategies -- Predictive properties of the volatility term structure -- Conclusions -- List of gures -- List of tables -- Bibliography
- Control code
- FIEb17715672
- Dimensions
- 21 cm.
- Edition
- First edition.
- Extent
- 178 pages
- Isbn
- 9783631655764
- Media category
- unmediated
- Media MARC source
- rdamedia.
- Media type code
-
- n
- System control number
- (OCoLC)933294259
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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.library.eui.eu/portal/Volatility-as-an-asset-class--obvious-benefits/xntYnQYtY3E/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.eui.eu/portal/Volatility-as-an-asset-class--obvious-benefits/xntYnQYtY3E/">Volatility as an asset class : obvious benefits and hidden risks, Juliusz Jabłecki, Ryszard Kokoszczyński, Paweł Sakowski, Robert Śleparczuk, Piotr Wójcik</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.eui.eu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.eui.eu/">European University Institute</a></span></span></span></span></div>
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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.library.eui.eu/portal/Volatility-as-an-asset-class--obvious-benefits/xntYnQYtY3E/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.eui.eu/portal/Volatility-as-an-asset-class--obvious-benefits/xntYnQYtY3E/">Volatility as an asset class : obvious benefits and hidden risks, Juliusz Jabłecki, Ryszard Kokoszczyński, Paweł Sakowski, Robert Śleparczuk, Piotr Wójcik</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.eui.eu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.eui.eu/">European University Institute</a></span></span></span></span></div>
