Volatility as an Asset Class - Obvious Benefits and Hidden Risks

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.

Sommario

Contents: Volatility and its estimation - Overview of volatility derivatives - Volatility derivatives in investment strategies and portfolio optimization - Predictive properties and modelling of volatility term structure - Volatility risk premium - Modern asset allocation.

Info autore

Juliusz Jab¿ecki is assistant professor at the University of Warsaw and economic expert at the Polish central bank.
Ryszard Kokoszczy¿ski is Professor of Economics at the University of Warsaw and Head of Research at the Polish central bank.
Pawe¿ Sakowski is assistant professor at the University of Warsaw.
Robert ¿lepaczuk 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.

Dettagli sul prodotto

• Autori: Robert ¿Lepaczuk, Juliusz Jab¿ecki, Juliusz Jablecki, Ryszard Kokoszczy¿ski, Ryszard Kokoszczynski, Pawe¿ Sakowski, Pawel Sakowski, Robert Slepaczuk, Piotr Wojcik, Piotr Wójcik
• Con la collaborazione di: Ryszard Kokoszczynski (Editore)
• Editore: Peter Lang
• Lingue: Inglese
• Formato: Tascabile
• Pubblicazione: 29.02.2016
• EAN: 9783631655764
• ISBN: 978-3-631-65576-4
• Pagine: 180
• Dimensioni: 156 mm x 11 mm x 213 mm
• Peso: 240 g
• Serie: Polish Studies in Economics; Polish Studies in Economics
• Categoria: Scienze sociali, diritto, economia > Economia > Economia politica