Volatility as an Asset Class (Paperback)

Juliusz Jablecki

ISBN 10: 3631655762 / ISBN 13: 9783631655764

Published by Peter Lang AG, Bern, 2015

About this Item

Paperback. 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 today an important group of financial instruments. This book presents an overview of their major classes and their possible applications in investment strategies and portfolio optimization. Volatility is not constant so the book presents its term structure and its potential use in forecasting volatility. Shipping may be from multiple locations in the US or from the UK, depending on stock availability.

Seller Inventory # 9783631655764

Bibliographic Details

• Title: Volatility as an Asset Class (Paperback)
• Publisher: Peter Lang AG, Bern
• Publication Date: 2015
• Language: English
• ISBN 10: 3631655762
• ISBN 13: 9783631655764
• Binding: Paperback
• Edition: 1st Edition
• Condition: 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 Wójcik is assistant professor at the University of Warsaw.