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Produktbild: A Practical Guide to Forecasting Financial Market Volatility

A Practical Guide to Forecasting Financial Market Volatility

Aus der Reihe Wiley Finance Series

151,99 €

inkl. gesetzl. MwSt., Versandkostenfrei

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

06.06.2005

Verlag

John Wiley & Sons

Seitenzahl

236

Maße (L/B/H)

23,5/15,7/1,9 cm

Gewicht

556 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-0-470-85613-0

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

06.06.2005

Verlag

John Wiley & Sons

Seitenzahl

236

Maße (L/B/H)

23,5/15,7/1,9 cm

Gewicht

556 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-0-470-85613-0

Herstelleradresse

Libri GmbH
Europaallee 1
36244 Bad Hersfeld
DE

Email: gpsr@libri.de

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  • Produktbild: A Practical Guide to Forecasting Financial Market Volatility
  • Foreword by Clive Granger.
     
    Preface.
     
    1 Volatility Definition and Estimation.
     
    1.1 What is volatility?
     
    1.2 Financial market stylized facts.
     
    1.3 Volatility estimation.
     
    1.4 The treatment of large numbers.
     
    2 Volatility Forecast Evaluation.
     
    2.1 The form of Xt.
     
    2.2 Error statistics and the form of µt.
     
    2.3 Comparing forecast errors of different models.
     
    2.4 Regression-based forecast efficiency and orthogonality test.
     
    2.5 Other issues in forecast evaluation.
     
    3 Historical Volatility Models.
     
    3.1 Modelling issues.
     
    3.2 Types of historical volatility models.
     
    3.3 Forecasting performance.
     
    4 Arch.
     
    4.1 Engle (1982).
     
    4.2 Generalized ARCH.
     
    4.3 Integrated GARCH.
     
    4.4 Exponential GARCH.
     
    4.5 Other forms of nonlinearity.
     
    4.6 Forecasting performance.
     
    5 Linear and Nonlinear Long Memory Models.
     
    5.1 What is long memory in volatility?
     
    5.2 Evidence and impact of volatility long memory.
     
    5.3 Fractionally integrated model.
     
    5.4 Competing models for volatility long memory.
     
    6 Stochastic Volatility.
     
    6.1 The volatility innovation.
     
    6.2 The MCMC approach.
     
    6.3 Forecasting performance.
     
    7 Multivariate Volatility Models.
     
    7.1 Asymmetric dynamic covariance model.
     
    7.2 A bivariate example.
     
    7.3 Applications.
     
    8 Black-Scholes.
     
    8.1 The Black-Scholes formula.
     
    8.2 Black-Scholes and no-arbitrage pricing.
     
    8.3 Binomial method.
     
    8.4 Testing option pricing model in practice.
     
    8.5 Dividend and early exercise premium.
     
    8.6 Measurement errors and bias.
     
    8.7 Appendix: Implementing Barone-Adesi and Whaley's efficient algorithm.
     
    9 Option Pricing with Stochastic Volatility.
     
    9.1 The Heston stochastic volatility option pricing model.
     
    9.2 Heston price and Black-Scholes implied.
     
    9.3 Model assessment.
     
    9.4 Volatility forecast using the Heston model.
     
    9.5 Appendix: The market price of volatility risk.
     
    10 Option Forecasting Power.
     
    10.1 Using option implied standard deviation to forecast volatility.
     
    10.2 At-the-money or weighted implied?
     
    10.3 Implied biasedness.
     
    10.4 Volatility risk premium.
     
    11 Volatility Forecasting Records.
     
    11.1 Which volatility forecasting model?
     
    11.2 Getting the right conditional variance and forecast with the 'wrong' models.
     
    11.3 Predictability across different assets.
     
    12 Volatility Models in Risk Management.
     
    12.1 Basel Committee and Basel Accords I & II.
     
    12.2 VaR and backtest.
     
    12.3 Extreme value theory and VaR estimation.
     
    12.4 Evaluation of VaR models.
     
    13 VIX and Recent Changes in VIX.
     
    13.1 New definition for VIX.
     
    13.2 What is the VXO?
     
    13.3 Reason for the change.
     
    14 Where Next?
     
    Appendix.
     
    References.
     
    Index.