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Volatility as an Asset Class

Obvious Benefits and Hidden Risks

Series:

Juliusz Jabłecki, Ryszard Kokoszczyński, Paweł Sakowski, Robert Ślepaczuk and Piotr Wójcik

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.
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Bibliographic Information published by the Deutsche Nationalbibliothek The Deutsche Nationalbibliothek lists this publication in the Deutsche Nationalbibliografie; detailed bibliographic data is available in the internet at http://dnb.d-nb.de.

Library of Congress Cataloging-in-Publication Data Jablecki, Juliusz, 1984-

Volatility as an asset class : obvious benefits and hidden risks / Juliusz Jablecki, Ryszard Kokoszczynski, Pawel Sakowski, Robert Slepaczuk, Piotr Wójcik. -- 1 Edition.

pages cm. -- (Polish studies in economics ; Volume 5)

Includes bibliographical references.

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