Bibliograph

Volatility as an asset class, obvious benefits and hidden risks, Juliusz Jabłecki, Ryszard Kokoszczyński, Paweł Sakowski, Robert Śleparczuk, Piotr Wójcik

Type

Label

Volatility as an asset class, obvious benefits and hidden risks, Juliusz Jabłecki, Ryszard Kokoszczyński, Paweł Sakowski, Robert Śleparczuk, Piotr Wójcik

Language

eng

Bibliography note

Includes bibliographical references

Index

no index present

Literary Form

non fiction

Main title

Volatility as an asset class

Nature of contents

bibliography

Oclc number

933294259

Responsibility statement

Juliusz Jabłecki, Ryszard Kokoszczyński, Paweł Sakowski, Robert Śleparczuk, Piotr Wójcik

Series statement

Polish studies in economics, Volume 5

Sub title

obvious benefits and hidden risks

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.--, Provided by publisher

Table Of 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

Contributor

Creator