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Volatility is one of the biggest topics in finance today. It is the most important measure of risk and plays a crucial role in the valuation of derivatives. Volatility estimations are therefore essential in most financial decisions. However, it has been proven extremely difficult to model and forecast the volatility one witnesses in time series. This book compares two volatility models, their properties and their performances. The models compared are the GARCH model and the Markov Switching Multifractal model, two models that rely on completely different assumptions. This book assesses how both models perform in replicating financial time series. The model parameters are estimated on historical returns and option prices. The results are used to produce volatility forecasts which in their turn are evaluated in a Value at Risk setup. The analysis done shows some unexpected conclusions and promising leads for further research. This book provides a step by step manual on how to estimate various volatility models and how resulting estimates can be used for derivative pricing. This is extremely valuable for practitioners and others interested in modeling volatility in financial markets.
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L'autore
Jesper Roelof Boer, 28-03-1987. Studied: BSc and MSc Econometrics and Management Science; Quantitative Finance, at Erasmus University Rotterdam. MSc Research in Political Science, at Universidad Pompeu Fabra, Barcelona. Current positions: Associate professor, Research Assistant and PhD student in Political Sciences, at Universidad Pompeu Fabra.
Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.
- EditoreLAP LAMBERT Academic Publishing
- Data di pubblicazione2010
- ISBN 10 3843362068
- ISBN 13 9783843362061
- RilegaturaCopertina flessibile
- LinguaInglese
- Numero di pagine88
- Contatto del produttorenon disponibile
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Modeling Volatility in Financial Time Series
Editore:
LAP LAMBERT Academic Publishing, 2010
ISBN 10: 3843362068
ISBN 13: 9783843362061
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Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Boer JesperJesper Roelof Boer, 28-03-1987. Studied: BSc and MSc Econometrics and Management Science Quantitative Finance, at Erasmus University Rotterdam. MSc Research in Political Science, at Universidad Pompeu Fabra, Barcelona. Cu. Codice articolo 5466167
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Modeling Volatility in Financial Time Series
Editore:
LAP LAMBERT Academic Publishing Okt 2010, 2010
ISBN 10: 3843362068
ISBN 13: 9783843362061
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Taschenbuch
Da: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germania
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Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Volatility is one of the biggest topics in finance today. It is the most important measure of risk and plays a crucial role in the valuation of derivatives. Volatility estimations are therefore essential in most financial decisions. However, it has been proven extremely difficult to model and forecast the volatility one witnesses in time series. This book compares two volatility models, their properties and their performances. The models compared are the GARCH model and the Markov Switching Multifractal model, two models that rely on completely different assumptions. This book assesses how both models perform in replicating financial time series. The model parameters are estimated on historical returns and option prices. The results are used to produce volatility forecasts which in their turn are evaluated in a Value at Risk setup. The analysis done shows some unexpected conclusions and promising leads for further research. This book provides a step by step manual on how to estimate various volatility models and how resulting estimates can be used for derivative pricing. This is extremely valuable for practitioners and others interested in modeling volatility in financial markets. 88 pp. Englisch. Codice articolo 9783843362061
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Modeling Volatility in Financial Time Series : A comparison between GARCH and MSM volatility models
Editore:
LAP LAMBERT Academic Publishing, 2010
ISBN 10: 3843362068
ISBN 13: 9783843362061
Nuovo
Taschenbuch
Da: AHA-BUCH GmbH, Einbeck, Germania
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Taschenbuch. Condizione: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - Volatility is one of the biggest topics in finance today. It is the most important measure of risk and plays a crucial role in the valuation of derivatives. Volatility estimations are therefore essential in most financial decisions. However, it has been proven extremely difficult to model and forecast the volatility one witnesses in time series. This book compares two volatility models, their properties and their performances. The models compared are the GARCH model and the Markov Switching Multifractal model, two models that rely on completely different assumptions. This book assesses how both models perform in replicating financial time series. The model parameters are estimated on historical returns and option prices. The results are used to produce volatility forecasts which in their turn are evaluated in a Value at Risk setup. The analysis done shows some unexpected conclusions and promising leads for further research. This book provides a step by step manual on how to estimate various volatility models and how resulting estimates can be used for derivative pricing. This is extremely valuable for practitioners and others interested in modeling volatility in financial markets. Codice articolo 9783843362061
Quantità: 1 disponibili
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Modeling Volatility in Financial Time Series
Editore:
LAP LAMBERT Academic Publishing Okt 2010, 2010
ISBN 10: 3843362068
ISBN 13: 9783843362061
Nuovo
Taschenbuch
Da: buchversandmimpf2000, Emtmannsberg, BAYE, Germania
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Taschenbuch. Condizione: Neu. This item is printed on demand - Print on Demand Titel. Neuware -Volatility is one of the biggest topics in finance today. It is the most important measure of risk and plays a crucial role in the valuation of derivatives. Volatility estimations are therefore essential in most financial decisions. However, it has been proven extremely difficult to model and forecast the volatility one witnesses in time series. This book compares two volatility models, their properties and their performances. The models compared are the GARCH model and the Markov Switching Multifractal model, two models that rely on completely different assumptions. This book assesses how both models perform in replicating financial time series. The model parameters are estimated on historical returns and option prices. The results are used to produce volatility forecasts which in their turn are evaluated in a Value at Risk setup. The analysis done shows some unexpected conclusions and promising leads for further research. This book provides a step by step manual on how to estimate various volatility models and how resulting estimates can be used for derivative pricing. This is extremely valuable for practitioners and others interested in modeling volatility in financial markets.Books on Demand GmbH, Überseering 33, 22297 Hamburg 88 pp. Englisch. Codice articolo 9783843362061
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Modeling Volatility in Financial Time Series
Editore:
VDM Verlag Dr. Mueller Aktiengesellschaft & Co. KG, 2010
ISBN 10: 3843362068
ISBN 13: 9783843362061
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Da: Books Puddle, New York, NY, U.S.A.
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Condizione: New. pp. 88. Codice articolo 26128852489
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Foto dell'editore
Modeling Volatility in Financial Time Series
Editore:
VDM Verlag Dr. Mueller Aktiengesellschaft & Co. KG, 2010
ISBN 10: 3843362068
ISBN 13: 9783843362061
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Da: Majestic Books, Hounslow, Regno Unito
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Condizione: New. Print on Demand pp. 88 2:B&W 6 x 9 in or 229 x 152 mm Perfect Bound on Creme w/Gloss Lam. Codice articolo 131702230
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Foto dell'editore
Modeling Volatility in Financial Time Series
Editore:
VDM Verlag Dr. Mueller Aktiengesellschaft & Co. KG, 2010
ISBN 10: 3843362068
ISBN 13: 9783843362061
Nuovo
Brossura
Da: Biblios, Frankfurt am main, HESSE, Germania
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Condizione: New. PRINT ON DEMAND pp. 88. Codice articolo 18128852483
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