The Resource Volatility as an asset class : obvious benefits and hidden risks, Juliusz Jablecki, Ryszard Kokoszczynski, Pawel Sakowski, Robert Sleparczuk, Wójcik Piotr

Volatility as an asset class : obvious benefits and hidden risks, Juliusz Jablecki, Ryszard Kokoszczynski, Pawel Sakowski, Robert Sleparczuk, Wójcik Piotr

Label
Volatility as an asset class : obvious benefits and hidden risks
Title
Volatility as an asset class
Title remainder
obvious benefits and hidden risks
Statement of responsibility
Juliusz Jablecki, Ryszard Kokoszczynski, Pawel Sakowski, Robert Sleparczuk, Wójcik Piotr
Creator
Subject
Language
eng
Summary
Volatility derivatives are an important group of financial instruments and their list is much longer than volatility index futures and options. This book reviews methods used for measurement, estimation and forecasting volatility and presents major classes of volatility derivatives and their possible applications in investment strategies and portfolio optimization. Since volatility is not constant, its term structure and the phenomenon of the volatility risk premium are discussed in view of the permanently instable relation between realized and implied volatility. The study proposes a method t
Member of
Cataloging source
N$T
Dewey number
332.64/57
Index
no index present
LC call number
HG6024.A3
LC item number
J326 2015eb
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
Series statement
Polish Studies in Economics
Series volume
v.4
Label
Volatility as an asset class : obvious benefits and hidden risks, Juliusz Jablecki, Ryszard Kokoszczynski, Pawel Sakowski, Robert Sleparczuk, Wójcik Piotr
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references
http://library.link/vocab/branchCode
  • net
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
Introduction -- Volatility and its estimation -- Overview of volatility derivatives -- Options delta hedging with no options at all -- Volatility derivatives in portfolio optimization -- Benefits of using volatility futures in investment strategies -- Predictive properties of the volatility term structure -- Conclusions -- List of gures -- List of tables -- Bibliography
Control code
ocn908685997
Dimensions
unknown
Edition
1 Edition
Extent
1 online resource
File format
unknown
Form of item
online
Isbn
9783653047875
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
c
Quality assurance targets
not applicable
http://library.link/vocab/recordID
.b34301537
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
  • (OCoLC)908685997
  • pebcs3653047870

Library Locations

    • Deakin University Library - Geelong Waurn Ponds CampusBorrow it
      75 Pigdons Road, Waurn Ponds, Victoria, 3216, AU
      -38.195656 144.304955
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