Semiparametric Modeling of Implied Volatility (Springer Finance) - Image 1

£59.94

Springer Semiparametric Modeling of Implied Volatility (Springer Finance)

Name: 3540723749
Brand: Springer
Price: 59.94 GBP
Availability: InStock

Econometrics

Price History & Forecast

Last 88 days • 88 data points

Historical

Generating forecast...

Price Distribution

Price distribution over 88 days • 2 price levels

Days at Price

Current Price

Price Analysis

Most common price: £60 (78 days, 88.6%)

Price range: £60 - £65

Price levels: 2 different prices over 88 days

Description

Yet that weakness is also its greatest strength. People like the model because they can easily understand its assumptions. The model is often good as a ?rst approximation, and if you can see the holes in the assumptions you can use the model in more sophisticated ways. Black (1992) Expected volatility as a measure of risk involved in economic decision making isakeyingredientinmodern?nancialtheory:therational,risk-averseinvestor will seek to balance the tradeo? between the risk he bears and the return he expects. The more volatile the asset is, i.e. the more it is prone to exc- sive price ?uctuations, the higher will be the expected premium he demands. Markowitz (1959), followed by Sharpe (1964) and Lintner (1965), were among the ?rst to quantify the idea of the simple equation ‘more risk means higher return’ in terms of equilibrium models. Since then, the analysis of volatility and price ?uctuations has sparked a vast literature in theoretical and quan- tative ?nance that re?nes and extends these early models. As the most recent climax of this story, one may see the Nobel prize in Economics granted to Robert Engle in 2003 for his path-breaking work on modeling time-dependent volatility.

Product Specifications

Brand: Springer
Format: paperback
ASIN: 3540262342
Category: Books > Subjects > Business, Finance & Law > Economics > Econometrics
Domain: Amazon UK
Release Date: 19 October 2005
Listed Since: 12 January 2007

Barcode

No barcode data available

Springer Semiparametric Modeling of Implied Volatility (Springer Finance)

Price History & Forecast

Price Distribution

Price Analysis

Description

Product Specifications

Barcode

Similar Products You Might Like

Handbook of Volatility Models and Their Applications: 03 (Wiley Handbooks in Financial Engineering and Econometrics)

Rough Volatility: 2 (Financial Mathematics)

Forecasting Volatility in the Financial Markets (Quantitative Finance)

Stochastic Volatility Modeling (Chapman and Hall/CRC Financial Mathematics Series)

Volatility Analysis and Asset Pricing of Stock Portfolios: an Empirical Approach in Applied Financial Econometrics

Stochastic Volatility and Realized Stochastic Volatility Models (SpringerBriefs in Statistics)

Forecasting Volatility in the Financial Markets

Stochastic Volatility in Financial Markets: Crossing the Bridge to Continuous Time: 3 (Dynamic Modeling and Econometrics in Economics and Finance, 3)

Multifractal Volatility: Theory, Forecasting, and Pricing (Academic Press Advanced Finance Series)

The Volatility Smile: An Introduction for Students and Practitioners (Wiley Finance)

Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives

Listed Volatility and Variance Derivatives: A Python-based Guide (Wiley Finance)

Volatility Surface and Term Structure: High-profit Options Trading Strategies (Routledge Advances in Risk Management)

Volatility Trading (Wiley Trading)

Stock Market Volatility (Chapman & Hall/CRC Finance Series)

Stock Market Volatility (Chapman & Hall/CRC Finance Series)

The Volatility Surface: A Practitioner's Guide (Wiley Finance)

Uncertain Volatility Models: Theory and Application (Springer Finance)

Valuation and Volatility: Stakeholder's Perspective

Routledge Emerging Financial Derivatives - Exotic Options Book

Parameter Estimation in Stochastic Volatility Models

Routledge Volatility Surface and Term Structure Book

Malliavin Calculus in Finance: Theory and Practice (Chapman and Hall/CRC Financial Mathematics Series)

The volatility derivative market:Variance Swap and VIX/VVIX strategies: Analysis of strategies on the volatility market