Forecasting Volatility in the Financial Markets

Forecasting Volatility in the Financial Markets

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Description

With contributions from leading academics and professional experts, this book is required reading for anyone who needs to understand the significance and impact of volatility in the financial markets.Its key features include a description of how to understand, model and forecast volatility; applications in investment management, trading strategies and financial engineering; and current research on the key forecasting methods to use in risk management.
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Product details

  • Hardback | 304 pages
  • 163.6 x 240.3 x 24.1mm | 675.86g
  • Butterworth-Heinemann Ltd
  • Oxford, United Kingdom
  • English
  • glossary, index
  • 0750640812
  • 9780750640817

Table of contents

Part 1: understanding volatility and risk; modelling volatility; forecasting volatility; GARCH; stochastic volatility; different measures of risk. Part 2: volatility in the financial markets; using volatility in global tactical asset allocation; volatility in trading strategies; measuring volatility in VAR; riskmetrics treatment of volatility; volatility in risk management; volatility and derivative markets.
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