By
Stephen Satchell, Consultant to financial institutions and Reader in Financial Econometrics at Trinity College, Cambridge, Stephen Satchell is Editor-in-Chief
of the Journal of Asset Management and Derivatives, Use, Trading, and Regulation. He has edited or authored over 20 books on finance.
John Knight, FCIBSE (Haden Young Ltd), UK
Description
This new edition of Forecasting Volatility in the Financial Markets assumes that the reader has a firm grounding in the key principles
and methods of understanding volatility measurement and builds on that knowledge to detail cutting-edge modelling and forecasting techniques.
It provides a survey of ways to measure risk and define the different models of volatility and return. Editors John Knight and Stephen
Satchell have brought together an impressive array of contributors who present research from their area of specialization related to
volatility forecasting. Readers with an understanding of volatility measures and risk management strategies will benefit from this collection
of up-to-date chapters on the latest techniques in forecasting volatility.
Chapters new to this third edition:
* What good is a
volatility model? Engle and Patton
* Applications for portfolio variety Dan diBartolomeo
* A comparison of the properties of realized
variance for the FTSE 100 and FTSE 250 equity indices Rob Cornish
* Volatility modeling and forecasting in finance Xiao and Aydemir
* An investigation of the relative performance of GARCH models versus simple rules in forecasting volatility Thomas A. Silvey
Included in series
Quantitative Finance
Audience:
Primary audience: Investment Professionals and academics
