Volatility as an Asset Class

Obvious Benefits and Hidden Risks

Business & Finance, Economics, Economic History, Personal Finance
Cover of the book Volatility as an Asset Class by Juliusz Jablecki, Pawel Sakowski, Ryszard Kokoszczynski, Robert Slepaczuk, Piotr Wójcik, Peter Lang
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Author: Juliusz Jablecki, Pawel Sakowski, Ryszard Kokoszczynski, Robert Slepaczuk, Piotr Wójcik ISBN: 9783653978841
Publisher: Peter Lang Publication: April 13, 2015
Imprint: Peter Lang GmbH, Internationaler Verlag der Wissenschaften Language: English
Author: Juliusz Jablecki, Pawel Sakowski, Ryszard Kokoszczynski, Robert Slepaczuk, Piotr Wójcik
ISBN: 9783653978841
Publisher: Peter Lang
Publication: April 13, 2015
Imprint: Peter Lang GmbH, Internationaler Verlag der Wissenschaften
Language: English

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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

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