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Author: Riccardo Rebonato Publisher: John Wiley & Sons ISBN: 0470091401 Category : Business & Economics Languages : en Pages : 864
Book Description
In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation – with over 80% new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the ‘perfect-replication’ approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity/FX options. The book is split into four parts. Part I deals with a Black world without smiles, sets out the author’s ‘philosophical’ approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. It begins with a review of relevant empirical information about smiles, and provides coverage of local-stochastic-volatility, general-stochastic-volatility, jump-diffusion and Variance-Gamma processes. Part II concludes with an important chapter that discusses if and to what extent one can dispense with an explicit specification of a model, and can directly prescribe the dynamics of the smile surface. Part III focusses on interest rates when the volatility is deterministic. Part IV extends this setting in order to account for smiles in a financially motivated and computationally tractable manner. In this final part the author deals with CEV processes, with diffusive stochastic volatility and with Markov-chain processes. Praise for the First Edition: “In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging.... The book is a must-read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed.” —Professor Ian Cooper, London Business School “Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion...A rare combination of intellectual insight and practical common sense.” —Anthony Neuberger, London Business School
Author: Riccardo Rebonato Publisher: John Wiley & Sons ISBN: 0470091401 Category : Business & Economics Languages : en Pages : 864
Book Description
In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation – with over 80% new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the ‘perfect-replication’ approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity/FX options. The book is split into four parts. Part I deals with a Black world without smiles, sets out the author’s ‘philosophical’ approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. It begins with a review of relevant empirical information about smiles, and provides coverage of local-stochastic-volatility, general-stochastic-volatility, jump-diffusion and Variance-Gamma processes. Part II concludes with an important chapter that discusses if and to what extent one can dispense with an explicit specification of a model, and can directly prescribe the dynamics of the smile surface. Part III focusses on interest rates when the volatility is deterministic. Part IV extends this setting in order to account for smiles in a financially motivated and computationally tractable manner. In this final part the author deals with CEV processes, with diffusive stochastic volatility and with Markov-chain processes. Praise for the First Edition: “In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging.... The book is a must-read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed.” —Professor Ian Cooper, London Business School “Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion...A rare combination of intellectual insight and practical common sense.” —Anthony Neuberger, London Business School
Author: Evdokia Xekalaki Publisher: John Wiley & Sons ISBN: 9780470688021 Category : Mathematics Languages : en Pages : 558
Book Description
Autoregressive Conditional Heteroskedastic (ARCH) processes are used in finance to model asset price volatility over time. This book introduces both the theory and applications of ARCH models and provides the basic theoretical and empirical background, before proceeding to more advanced issues and applications. The Authors provide coverage of the recent developments in ARCH modelling which can be implemented using econometric software, model construction, fitting and forecasting and model evaluation and selection. Key Features: Presents a comprehensive overview of both the theory and the practical applications of ARCH, an increasingly popular financial modelling technique. Assumes no prior knowledge of ARCH models; the basics such as model construction are introduced, before proceeding to more complex applications such as value-at-risk, option pricing and model evaluation. Uses empirical examples to demonstrate how the recent developments in ARCH can be implemented. Provides step-by-step instructive examples, using econometric software, such as Econometric Views and the G@RCH module for the Ox software package, used in Estimating and Forecasting ARCH Models. Accompanied by a CD-ROM containing links to the software as well as the datasets used in the examples. Aimed at readers wishing to gain an aptitude in the applications of financial econometric modelling with a focus on practical implementation, via applications to real data and via examples worked with econometrics packages.
Author: Stavros Degiannakis Publisher: Springer ISBN: 1137396490 Category : Business & Economics Languages : en Pages : 411
Book Description
The global financial crisis has reopened discussion surrounding the use of appropriate theoretical financial frameworks to reflect the current economic climate. There is a need for more sophisticated analytical concepts which take into account current quantitative changes and unprecedented turbulence in the financial markets. This book provides a comprehensive guide to the quantitative analysis of high frequency financial data in the light of current events and contemporary issues, using the latest empirical research and theory. It highlights and explains the shortcomings of theoretical frameworks and provides an explanation of high-frequency theory, emphasising ways in which to critically apply this knowledge within a financial context. Modelling and Forecasting High Frequency Financial Data combines traditional and updated theories and applies them to real-world financial market situations. It will be a valuable and accessible resource for anyone wishing to understand quantitative analysis and modelling in current financial markets.
Author: G. Gregoriou Publisher: Springer ISBN: 0230298109 Category : Business & Economics Languages : en Pages : 277
Book Description
This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new financial risk measures using parametric and non-parametric techniques. In particular, it investigates the market microstructure of foreign exchange and futures markets.
Author: Luc Bauwens Publisher: John Wiley & Sons ISBN: 1118272056 Category : Business & Economics Languages : en Pages : 566
Book Description
A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency. Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.
Author: Michiel de Pooter Publisher: Rozenberg Publishers ISBN: 9051709153 Category : Languages : en Pages : 286
Book Description
This dissertation consists of a collection of studies on two areas in quantitative finance: asset return volatility and the term structure of interest rates. The first part of this dissertation offers contributions to the literature on how to test for sudden changes in unconditional volatility, on modelling realized volatility and on the choice of optimal sampling frequencies for intraday returns. The emphasis in the second part of this dissertation is on the term structure of interest rates.
Author: William N. Toggins Publisher: Nova Publishers ISBN: 9781600215865 Category : Business & Economics Languages : en Pages : 240
Book Description
Econometric models are used by economists to find standard relationships among aspects of the macroeconomy and use those relationships to predict the effects of certain events (like government policies) on inflation, unemployment, growth, etc... Econometric models generally have a short-run aggregate supply component with fixed prices, and aggregate demand portion, and a potential output component. Two famous econometric models are the Federal Reserve Bank econometric model and the DRI-WEFA model. This book presents new and important research in this field.
Author: Hamid Seddighi Publisher: Routledge ISBN: 1136586091 Category : Business & Economics Languages : en Pages : 466
Book Description
This book constitutes the first serious attempt to explain the basics of econometrics and its applications in the clearest and simplest manner possible. Recognising the fact that a good level of mathematics is no longer a necessary prerequisite for economics/financial economics undergraduate and postgraduate programmes, it introduces this key subdivision of economics to an audience who might otherwise have been deterred by its complex nature.
Author: Monica Billio Publisher: Elsevier ISBN: 0081011768 Category : Business & Economics Languages : en Pages : 302
Book Description
In April 2010 Europe was shocked by the Greek financial turmoil. At that time, the global financial crisis, which started in the summer of 2007 and reached systemic dimensions in September 2008 with the Lehman Brothers' crash, took a new course. An adverse feedback loop between sovereign and bank risks reflected into bubble-like spreads, as if financial markets had received a wake-up call concerning the disregarded structural vulnerability of economies at risk.These events inspired the SYRTO project to "think and rethink the economic and financial system and to conceive it as an "ensemble of Sovereigns and Banks with other Financial Intermediaries and Corporations. Systemic Risk Tomography: Signals, Measurement and Transmission Channels proposes a novel way to explore the financial system by sectioning each part of it and analyzing all relevant inter-relationships. The financial system is inspected as a biological entity to identify the main risk signals and to provide the correct measures of prevention and intervention. - Explores the economic and financial system of Sovereigns, Banks, other Financial Intermediaries, and Corporations - Presents the financial system as a biological entity to be explored in order to identify the main risk signals and provide the right measures of prevention and interventions - Offers a new, systemic-based approach to construct a hierarchical, internally coherent framework to be used in developing an effective early warning system
Author: Nguyen Ngoc Thach Publisher: Springer Nature ISBN: 303077094X Category : Technology & Engineering Languages : en Pages : 691
Book Description
This book provides the ultimate goal of economic studies to predict how the economy develops—and what will happen if we implement different policies. To be able to do that, we need to have a good understanding of what causes what in economics. Prediction and causality in economics are the main topics of this book's chapters; they use both more traditional and more innovative techniques—including quantum ideas -- to make predictions about the world economy (international trade, exchange rates), about a country's economy (gross domestic product, stock index, inflation rate), and about individual enterprises, banks, and micro-finance institutions: their future performance (including the risk of bankruptcy), their stock prices, and their liquidity. Several papers study how COVID-19 has influenced the world economy. This book helps practitioners and researchers to learn more about prediction and causality in economics -- and to further develop this important research direction.
Author: Riccardo Rebonato
Author: Riccardo Rebonato
Author: Evdokia Xekalaki
Author: Stavros Degiannakis
Author: G. Gregoriou
Author: Luc Bauwens
Author: Michiel de Pooter
Author: William N. Toggins
Author: Hamid Seddighi
Author: Monica Billio
Author: Nguyen Ngoc Thach