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Title Forecasting volatility in the financial markets / edited by John Knight, Stephen Satchell
Edition Second edition
Published Oxford ; Boston : Butterworth-Heinemann, 2002


Location Call no. Vol. Availability
 MELB  332.632042 Kni/Fvi 2002  UNAVAILABLE C19
Description viii, 407 pages : illustrations ; 25 cm
Series Quantitative finance series
Quantitative finance series.
Contents Machine derived contents note: Table of contents for Forecasting volatility in the financial markets / edited by John Knight, Stephen Satchell. -- Bibliographic record and links to related information available from the Library of Congress catalog -- Information from electronic data provided by the publisher. May be incomplete or contain other coding. -- Contributors -- Introduction -- Volatility modelling in finance -- Stochastic volatility and option pricing -- Modelling slippage: an application to the bund futures contract -- Real trading volume and price action in the foreign exchange markets -- Implied risk-neutral probability density functions from option prices: a central bank perspective -- Hashing GARCH: a reassessment of volatility forecasting performance -- Implied volatility forecasting: a comparison of different procedures including fractionally integrated models with applications to UK equity options -- GARCH predictions and the predictions of option prices -- Volatility forecasting in a tick data model -- An econometric model of downside risk -- Variations in the mean and volatility of stock returns around turning points of the business cycle -- Long memory in stochastic volatility -- GARCH processes - some exact results, some difficulties and a suggested remedy -- Generating composite volatility forecasts with random factor betas -- The information content of the FTSE 100 Index Option implied volatility and its structural changes with links to loss aversion -- Index. -- Library of Congress subject headings for this publication: Options (Finance) Mathematical models, Securities Prices Mathematical models, Stock price forecasting Mathematical models
Notes Previous ed.: 1998
Bibliography Includes bibliographical references and index
Subject Options (Finance) -- Mathematical models.
Securities -- Prices -- Mathematical models.
Stock price forecasting -- Mathematical models.
Author Knight, John L.
Satchell, S. (Stephen)
LC no. 2002033236
ISBN 0750655151 :