商品簡介
A work of technical economics that present practical aspects of volatility as an asset class. Chapter One begins with an overview of methods of measuring and modeling volatility, including forecasting. Chapter Two explains the nature of volatility exposure and presents derivative instruments that can be used to obtain exposure to volatility. Chapter Three goes over results of a simple hedge strategy that depends on adjusting option positions. Chapters Four and Five show ways investors can get exposure to volatility and how it can improve portfolio performance. Chapter six discusses volatility term structure (VTS) as a way to analyze volatility information for predictive purposes. Annotation c2015 Ringgold, Inc., Portland, OR (protoview.com)
作者簡介
Juliusz Jablecki is assistant professor at the University of Warsaw and economic expert at the Polish central bank.
Ryszard Kokoszczynski is Professor of Economics at the University of Warsaw and Head of Research at the Polish central bank.
Pawel Sakowski is assistant professor at the University of Warsaw.
Robert Slepaczuk is quantitative fund manager at a private investment company and assistant professor at the University of Warsaw.
Piotr Wojcik is assistant professor at the University of Warsaw.
