Forecasting Volatility in the Financial Markets - 2nd Edition - ISBN: 9780080494975

Forecasting Volatility in the Financial Markets

2nd Edition

Editors: Stephen Satchell John Knight
eBook ISBN: 9780080494975
Imprint: Butterworth-Heinemann
Published Date: 22nd August 2002
Page Count: 420
Tax/VAT will be calculated at check-out Price includes VAT (GST)
30% off
30% off
30% off
30% off
30% off
20% off
20% off
30% off
30% off
30% off
30% off
30% off
20% off
20% off
30% off
30% off
30% off
30% off
30% off
20% off
20% off
72.00
50.40
50.40
50.40
50.40
50.40
57.60
57.60
89.95
62.97
62.97
62.97
62.97
62.97
71.96
71.96
118.00
82.60
82.60
82.60
82.60
82.60
94.40
94.40
Unavailable
Price includes VAT (GST)
× DRM-Free

Easy - Download and start reading immediately. There’s no activation process to access eBooks; all eBooks are fully searchable, and enabled for copying, pasting, and printing.

Flexible - Read on multiple operating systems and devices. Easily read eBooks on smart phones, computers, or any eBook readers, including Kindle.

Open - Buy once, receive and download all available eBook formats, including PDF, EPUB, and Mobi (for Kindle).

Institutional Access

Secure Checkout

Personal information is secured with SSL technology.

Free Shipping

Free global shipping
No minimum order.

Table of Contents

Contributors; Introduction; Volatility modelling in finance; Stochastic volatility and option pricing; Modelling slippage: an application to the bund futures contract; Real trading volume and price action in the foreign exchange markets; Implied risk-neutral probability density functions from option prices: a central bank perspective; Hashing GARCH: a reassessment of volatility forecasting performance; Implied volatility forecasting: a comparison of different procedures including fractionally integrated models with applications to UK equity options; GARCH predictions and the predictions of option prices; Volatility forecasting in a tick data model; An econometric model of downside risk; Variations in the mean and volatility of stock returns around turning points of the business cycle; Long memory in stochastic volatility; GARCH processes - some exact results, some difficulties and a suggested remedy; Generating composite volatility forecasts with random factor betas; The information content of the FTSE 100 Index Option implied volatility and its structural changes with links to loss aversion; Index.


Description

'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 then uses a technical survey to explain the different ways to measure risk and define the different models of volatility and return.

The editors have brought together a set of contributors that give the reader a firm grounding in relevant theory and research and an insight into the cutting edge techniques applied in this field of the financial markets.

This book is of particular relevance to anyone who wants to understand dynamic areas of the financial markets.

  • Traders will profit by learning to arbitrage opportunities and modify their strategies to account for volatility.
  • Investment managers will be able to enhance their asset allocation strategies with an improved understanding of likely risks and returns.
  • Risk managers will understand how to improve their measurement systems and forecasts, enhancing their risk management models and controls.
  • Derivative specialists will gain an in-depth understanding of volatility that they can use to improve their pricing models.
  • Students and academics will find the collection of papers an invaluable overview of this field.

Key Features

This book is of particular relevance to those wanting to understand the dynamic areas of volatility modeling and forecasting of the financial marketsProvides the latest research and techniques for Traders, Investment Managers, Risk Managers and Derivative Specialists wishing to manage their downside risk exposure
Current research on the key forecasting methods to use in risk management, including two new chapters

Readership

Financial Traders; Investment Managers; Risk Managers; Derivatives Specialists; Masters in finance Students and Academics.


Details

No. of pages:
420
Language:
English
Copyright:
© Butterworth-Heinemann 2002
Published:
Imprint:
Butterworth-Heinemann
eBook ISBN:
9780080494975

Reviews

"This book is of particular relevance to anyone who wants to understand the dynamic nature of the financial markets. It should therefore be of interest to both researchers and practitioners." - International Journal of Forecasting


About the Editors

Stephen Satchell Editor

Stephen Satchell is a Fellow of Trinity College, the Reader in Financial Econometrics at the University of Cambridge and Visiting Professor at Birkbeck College, City University Business School and University of Technology, Sydney. He provides consultancy for a range of city institutions in the broad area of quantitative finance. He has published papers in many journals and has a particular interest in risk.

Affiliations and Expertise

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 Editor

Affiliations and Expertise

FCIBSE (Haden Young Ltd), UK