Analysing Intraday Implied Volatility for Pricing Currency Options (Hardcover, 1st ed. 2021)

This book focuses on the impact of high-frequency data in forecasting market volatility and options price. New technologies have created opportunities to obtain better, faster, and more efficient datasets to explore financial market phenomena at the most acceptable data levels. It provides reliable intraday data supporting financial investment decisions across different assets classes and instruments consisting of commodities, derivatives, equities, fixed income and foreign exchange. This book emphasises four key areas, (1) estimating intraday implied volatility using ultra-high frequency (5-minutes frequency) currency options to capture traders' trading behaviour, (2) computing realised volatility based on 5-minute frequency currency price to obtain speculators' speculation attitude, (3) examining the ability of implied volatility to subsume market information through forecasting realised volatility and (4) evaluating the predictive power of implied volatility for pricing currency options. This is a must-read for academics and professionals who want to improve their skills and outcomes in trading options.

General

Imprint:	Springer Nature Switzerland AG
Country of origin:	Switzerland
Series:	Contributions to Finance and Accounting
Release date:	April 2021
First published:	2021
Authors:	Thi Le
Dimensions:	235 x 155mm (L x W)
Format:	Hardcover
Pages:	350
Edition:	1st ed. 2021
ISBN-13:	978-3-03-071241-9
Categories:	Books > Business & Economics > Finance & accounting > Finance > Investment & securities > General Books > Money & Finance > Investment & securities > General Promotions
LSN:	3-03-071241-9
Barcode:	9783030712419

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