A Practical Guide to Forecasting Financial Market Volatility (Hardcover)

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
LSN:	0-470-85613-0
Barcode:	9780470856130

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