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 riskneutral 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 : 
