Wiley-VCH - Poon, Ser-Huang - A Practical Guide to Forecasting Financial Market Volatility

Das Unternehmen

Shopping cart

	Bücher \| Finanz- u. Anlagewesen \| Allg. Finanz- u. Anlagewesen \| A Practical Guide to Forecasting Financial Market Volatility \|

Unsere Produkte:

	Soeben erschienen
	Produktsuche
	Featured Sites

Wählen Sie Ihr Fachgebiet:

	Infos & Angebote für:
	Autoren
	Bibliothekare
	Buchhändler
	Journalisten
	Anzeigenkunden
	Industrie- und Firmenkunden
	Dozenten
	Lizenzen

Sachbuch

Für Dummies

Verdammt clever

Sybex

Little Black Books

ProPhysik

ChemistryViews

MaterialsViews

wileyPLUS

WileyOnline Library

Ernst & Sohn

Poon, Ser-Huang A Practical Guide to Forecasting Financial Market Volatility Wiley Finance Series 1. Auflage April 2005 105,- Euro 2005. 236 Seiten, Hardcover - Praktikerbuch - ISBN 978-0-470-85613-0 - John Wiley & Sons Preis inkl. Mehrwertsteuer zzgl. Versandkosten.	Probekapitel
Jetzt kaufen E-Books sind auch über alle bekannten E-Book Shops erhältlich.

Kurzbeschreibung Financial market volatility forecasting is one of today's most important areas of expertise for professionals and academics in investment, option pricing, and financial market regulation. While many books address financial market modeling, no single book is devoted primarily to the exploration of volatility forecasting and the practical use of forecasting models. Forecasting Volatility in Financial Markets provides practical guidance on this vital topic through an in-depth examination of a range of popular forecasting models. Details are provided on proven techniques for building volatility models, with guide-lines for actually using them in forecasting applications. Aus dem Inhalt 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.

	Kurzbeschreibung
	Langtext
	Weitere Titel der Reihe
	Autoreninformation
	Sitz der Autoren

Weitere Bücher
	Collateral Management A Guide to Mitigating Counterparty Risk Energy Investing For Dummies The Trader's Guide to the Euro Area Economic Indicators, the ECB and the Euro Crisis
	[mehr >>]

Einführungsangebot
	Menninger, Jutta / Wurzer, Alexander J. Bewertungsstandards für Patente und Marken 99,- Euro gültig bis 30. September 2013
	[mehr Angebote >>]

Seite empfehlen RSS-Feeds Druckversion Sitemap

©2013 Wiley-VCH Verlag GmbH & Co. KGaA - Betreiber
http://www.wiley-vch.de - mailto: info@wiley-vch.de
Datenschutz