| A Practical Guide to Forecasting Financial Market Volatility Contributor(s): Poon, Ser-Huang (Author) |
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ISBN: 0470856130 ISBN-13: 9780470856130 Publisher: Wiley OUR PRICE: $129.20 Product Type: Hardcover - Other Formats Published: May 2005 Annotation: 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." "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." |
| Additional Information |
| BISAC Categories: - Business & Economics | Finance - General - Business & Economics | Investments & Securities - Options |
| Dewey: 332.640 |
| LCCN: 2005005768 |
| Series: Wiley Finance |
| Physical Information: 0.94" H x 6.4" W x 9.14" (1.05 lbs) 200 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: Financial market volatility forecasting is one of today's most important areas of expertise for professionals and academics in investment, option pricing, and financial market regulation. While many books address financial market modelling, no single book is devoted primarily to the exploration of volatility forecasting and the practical use of forecasting models. A Practical Guide to Forecasting Financial Market Volatility provides practical guidance on this vital topic through an in-depth examination of a range of popular forecasting models. Details are provided on proven techniques for building volatility models, with guide-lines for actually using them in forecasting applications. |