Volatility as an Asset Class
Obvious Benefits and Hidden Risks
Business & Finance, Economics, Economic History, Personal Finance
| 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.
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.
