Coverart for item
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

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
Creator
Contributor
Author
Subject
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.--
Member of
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
Instantiates
Publication
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
Publication
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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