Title: Volatility as an Asset Class: Obvious Benefits and Hidden Risks - Polish Studies in Economics 4
Publisher: Peter Lang GmbH, Internationaler Verlag der Wissenschaften
Publication Date: 2015
Language: English
ISBN 10: 3631655762
ISBN 13: 9783631655764
Binding: Soft cover
Condition: Brand New

About this title

Synopsis

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.

About the Author

Juliusz Jabłecki is assistant professor at the University of Warsaw and economic expert at the Polish central bank.
Ryszard Kokoszczyński is Professor of Economics at the University of Warsaw and Head of Research at the Polish central bank.
Paweł Sakowski is assistant professor at the University of Warsaw.
Robert Ślepaczuk is quantitative fund manager at a private investment company and assistant professor at the University of Warsaw.
Piotr W�jcik is assistant professor at the University of Warsaw.

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