TY  - BOOK
AU  - Juliusz Jabłecki
AU  - Ryszard Kokoszczyński
AU  - Paweł Sakowski
AU  - Robert Ślepaczuk
AU  - Piotr Wójcik
PY  - 2015
CY  - Berlin, Germany
PB  - Peter Lang Verlag
SN  - 9783653047875
TI  - Volatility as an Asset Class
T2  - Obvious Benefits and Hidden Risks
DO  - 10.3726/978-3-653-04787-5
UR  - https://www.peterlang.com/document/1048821
N2  - 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.
KW  - Derivate, Investitionsstrategien, Portfolio, Volatitlität
LA  - English
ER  -