A01=Juliusz Jablecki
A01=Pawel Sakowski
A01=Piotr Wojcik
A01=Robert Slepaczuk
A01=Ryszard Kokoszczynski
Asset
Author_Juliusz Jablecki
Author_Pawel Sakowski
Author_Piotr Wojcik
Author_Robert Slepaczuk
Author_Ryszard Kokoszczynski
Category=KCA
Category=KF
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Product details
- ISBN 9783631655764
- Weight: 240g
- Dimensions: 148 x 210mm
- Publication Date: 30 Apr 2015
- Publisher: Peter Lang AG
- Publication City/Country: CH
- Product Form: Paperback
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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 to use this information in the process of forecasting future values of volatility.
Juliusz Jabłecki is assistant professor at the University of Warsaw and economic expert at the Polish central bank.
Ryszard Kokoszczyński is Professor of Economics at the University of Warsaw and Head of Research at the Polish central bank.
Paweł Sakowski is assistant professor at the University of Warsaw.
Robert Ślepaczuk is quantitative fund manager at a private investment company and assistant professor at the University of Warsaw.
Piotr Wójcik is assistant professor at the University of Warsaw.
Ryszard Kokoszczyński is Professor of Economics at the University of Warsaw and Head of Research at the Polish central bank.
Paweł Sakowski is assistant professor at the University of Warsaw.
Robert Ślepaczuk is quantitative fund manager at a private investment company and assistant professor at the University of Warsaw.
Piotr Wójcik is assistant professor at the University of Warsaw.
