Volatility forecasting is crucial for option pricing, risk
management and portfolio management. This book gives clear and
practical guidance on how to model and forecast volatility using
only volatility models that have been tested for their forecasting
performance. The book focuses on describing, evaluating and
comparing research in volatility forecasting and provides some
background on volatility definition, estimation and some principles
on forecasts evaluation. The book covers both time series
econometric volatility models and implied volatility model based on
Black-Scholes and continuous time stochastic volatility option
pricing models.
"The present book by Professor Ser-Huang Poon surveys this
literature carefully and provides a very useful summary of the
results available. By so doing, she allows any interested worker to
quickly catch up with the field and also to discover the areas that
are still available for further exploration."
--Sir Clive W. J. Granger, University of California in San
Diego
"Professor Poon exposes in her book current state-of-the-art
volatility forecasting methods. Beginning with a description of
various conditional volatility models, be it discrete or
continuous, the link with option pricing models is well
established. The book proceeds with surveying the current
volatility literature: what type of volatility should be used to
price options, how can volatility of various assets be predicted,
how volatility can be used within a value-at-risk setting. This
well written book should be useful both for the practitioner and
the academic/student interested in volatility."
--Professor Michael Rockinger, FAME and University of Lausanne,
Switzerland
General
| Imprint: |
John Wiley & Sons
|
| Country of origin: |
United States |
| Release date: |
April 2005 |
| First published: |
May 2005 |
| Authors: |
S Poon
|
| Dimensions: |
231 x 161 x 18mm (L x W x T) |
| Format: |
Hardcover
|
| Pages: |
236 |
| ISBN-13: |
978-0-470-85613-0 |
| Categories: |
Books >
Business & Economics >
Finance & accounting >
General
Promotions
|
| LSN: |
0-470-85613-0 |
| Barcode: |
9780470856130 |
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