| Description |
viii, 415 pages : illustrations ; 25 cm |
| Series |
Quantitative finance series |
|
Quantitative finance series.
|
| Contents |
Machine derived contents note: List of contributors vii -- Preface to third edition ix -- Introduction xi -- 1 Volatility modelling and forecasting in finance 1 -- Linlan Xiao and Abdurrahman Aydemir -- 2 What good is a volatility model? 47 -- Robert F. Engle and Andrew J. Patton -- 3 Applications of portfolio variety 65 -- Dan diBartolomeo -- 4 A comparison of the properties of realized variance for the FTSE 100 -- and FTSE 250 equity indices 73 -- Rob Cornish -- 5 An investigation of the relative performance of GARCH models versus -- simple rules in forecasting volatility 101 -- Thomas A. Silvey -- 6 Stochastic volatility and option pricing 131 -- George J. Jiang -- 7 Modelling slippage: an application to the bund futures contract 173 -- Emmanuel Acar and Edouard Petitdidier -- 8 Real trading volume and price action in the foreign exchange markets 187 -- Pierre Lequeux -- 9 Implied risk-neutral probability density functions from option prices: -- a central bank perspective 201 -- Bhupinder Bahra -- 10 Hashing GARCH: a reassessment of volatility forecasting performance 227 -- George A. Christodoulakis and Stephen E. Satchell -- 11 Implied volatility forecasting: a comparison of different procedures -- including fractionally integrated models with applications to UK -- equity options 249 -- Soosung Hwang and Stephen E. Satchell -- 12 GARCH predictions and the predictions of option prices 279 -- John Knight and Stephen E. Satchel! -- 13 Volatility forecasting in a tick data model 295 -- L.C.G. Rogers -- 14 An econometric model of downside risk 301 -- Shaun Bond -- 15 Variations in the mean and volatility of stock returns around -- turning points of the business cycle 333 -- Gabriel Perez-Quiros and Allan Timmermann -- 16 Long memory in stochastic volatility 351 -- Andrew C. Harvey -- 17 GARCH processes - some exact results, some difficulties -- and a suggested remedy 365 -- John L. Knight and Stephen E. Satchell -- 18 Generating composite volatility forecasts with random factor betas 391 -- George A. Christodoulakis |
| Summary |
This new edition of Forecasting Volatility in the Financial Markets assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting-edge modelling and forecasting techniques. It provides a survey of ways to measure risk and define the different models of volatility and return. Editors John Knight and Stephen Satchell have brought together an impressive array of contributors who present research from their area of specialization related to volatility forecasting. Readers with an understanding of volatility measures and risk management strategies will benefit from this collection of up-to-date chapters on the latest techniques in forecasting volatility. Chapters new to this third edition: * What good is a volatility model? Engle and Patton * Applications for portfolio variety Dan diBartolomeo * A comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices Rob Cornish * Volatility modeling and forecasting in finance Xiao and Aydemir * An investigation of the relative performance of GARCH models versus simple rules in forecasting volatility Thomas A. Silvey * Leading thinkers present newest research on volatility forecasting *International authors cover a broad array of subjects related to volatility forecasting *Assumes basic knowledge of volatility, financial mathematics, and modelling |
| Bibliography |
Includes bibliographical references and index |
| Notes |
Print version record |
| Subject |
Options (Finance) -- Mathematical models.
|
|
Securities -- Prices -- Mathematical models.
|
|
Stock price forecasting -- Mathematical models.
|
| Author |
Knight, John L.
|
|
Satchell, S. (Stephen)
|
| LC no. |
2007278282 |
| ISBN |
075066942X |
|
9780750669429 |
|
