Handbook Of Volatility Models And Their Applications

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Handbook of Volatility Models and Their Applications

Luc Bauwens,Christian M. Hafner,Sebastien Laurent
Handbook of Volatility Models and Their Applications Book PDF

Author : Luc Bauwens,Christian M. Hafner,Sebastien Laurent
Publisher : John Wiley & Sons
Page : 566 pages
File Size : 43,5 Mb
Release : 2012-04-17
Category : Business & Economics
ISBN : 9780470872512

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Handbook of Volatility Models and Their Applications by Luc Bauwens,Christian M. Hafner,Sebastien Laurent Pdf

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.

Handbook of Volatility Models and Their Applications

Luc Bauwens,Christian M. Hafner,Sebastien Laurent
Handbook of Volatility Models and Their Applications Book PDF

Author : Luc Bauwens,Christian M. Hafner,Sebastien Laurent
Publisher : John Wiley & Sons
Page : 566 pages
File Size : 53,9 Mb
Release : 2012-03-22
Category : Business & Economics
ISBN : 9781118272053

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Handbook of Volatility Models and Their Applications by Luc Bauwens,Christian M. Hafner,Sebastien Laurent Pdf

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.

A Practical Guide to Forecasting Financial Market Volatility

Ser-Huang Poon
A Practical Guide to Forecasting Financial Market Volatility Book PDF

Author : Ser-Huang Poon
Publisher : John Wiley & Sons
Page : 236 pages
File Size : 48,7 Mb
Release : 2005-08-19
Category : Business & Economics
ISBN : 9780470856154

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A Practical Guide to Forecasting Financial Market Volatility by Ser-Huang Poon Pdf

Financial market volatility forecasting is one of today's most important areas of expertise for professionals and academics in investment, option pricing, and financial market regulation. While many books address financial market modelling, no single book is devoted primarily to the exploration of volatility forecasting and the practical use of forecasting models. A Practical Guide to Forecasting Financial Market Volatility provides practical guidance on this vital topic through an in-depth examination of a range of popular forecasting models. Details are provided on proven techniques for building volatility models, with guide-lines for actually using them in forecasting applications.

Uncertain Volatility Models

Robert Buff
Uncertain Volatility Models Book PDF

Author : Robert Buff
Publisher : Springer Science & Business Media
Page : 260 pages
File Size : 44,6 Mb
Release : 2002-04-10
Category : Mathematics
ISBN : 3540426574

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Uncertain Volatility Models by Robert Buff Pdf

This is one of the only books to describe uncertain volatility models in mathematical finance and their computer implementation for portfolios of vanilla, barrier and American options in equity and FX markets. Uncertain volatility models place subjective constraints on the volatility of the stochastic process of the underlying asset and evaluate option portfolios under worst- and best-case scenarios. This book, which is bundled with software, is aimed at graduate students, researchers and practitioners who wish to study advanced aspects of volatility risk in portfolios of vanilla and exotic options. The reader is assumed to be familiar with arbitrage pricing theory.

Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics

Burcu Adıgüzel Mercangöz
Handbook of Research on Emerging Theories Models and Applications of Financial Econometrics Book PDF

Author : Burcu Adıgüzel Mercangöz
Publisher : Springer Nature
Page : 465 pages
File Size : 44,5 Mb
Release : 2021-02-17
Category : Business & Economics
ISBN : 9783030541088

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Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics by Burcu Adıgüzel Mercangöz Pdf

This handbook presents emerging research exploring the theoretical and practical aspects of econometric techniques for the financial sector and their applications in economics. By doing so, it offers invaluable tools for predicting and weighing the risks of multiple investments by incorporating data analysis. Throughout the book the authors address a broad range of topics such as predictive analysis, monetary policy, economic growth, systemic risk and investment behavior. This book is a must-read for researchers, scholars and practitioners in the field of economics who are interested in a better understanding of current research on the application of econometric methods to financial sector data.

Financial Mathematics, Volatility and Covariance Modelling

Julien Chevallier,Stéphane Goutte,David Guerreiro,Sophie Saglio,Bilel Sanhaji
Financial Mathematics Volatility and Covariance Modelling Book PDF

Author : Julien Chevallier,Stéphane Goutte,David Guerreiro,Sophie Saglio,Bilel Sanhaji
Publisher : Routledge
Page : 381 pages
File Size : 52,7 Mb
Release : 2019-06-28
Category : Business & Economics
ISBN : 9781351669092

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Financial Mathematics, Volatility and Covariance Modelling by Julien Chevallier,Stéphane Goutte,David Guerreiro,Sophie Saglio,Bilel Sanhaji Pdf

This book provides an up-to-date series of advanced chapters on applied financial econometric techniques pertaining the various fields of commodities finance, mathematics & stochastics, international macroeconomics and financial econometrics. Financial Mathematics, Volatility and Covariance Modelling: Volume 2 provides a key repository on the current state of knowledge, the latest debates and recent literature on financial mathematics, volatility and covariance modelling. The first section is devoted to mathematical finance, stochastic modelling and control optimization. Chapters explore the recent financial crisis, the increase of uncertainty and volatility, and propose an alternative approach to deal with these issues. The second section covers financial volatility and covariance modelling and explores proposals for dealing with recent developments in financial econometrics This book will be useful to students and researchers in applied econometrics; academics and students seeking convenient access to an unfamiliar area. It will also be of great interest established researchers seeking a single repository on the current state of knowledge, current debates and relevant literature.

Decision Sciences

Raghu Nandan Sengupta,Aparna Gupta,Joydeep Dutta
Decision Sciences Book PDF

Author : Raghu Nandan Sengupta,Aparna Gupta,Joydeep Dutta
Publisher : CRC Press
Page : 901 pages
File Size : 42,9 Mb
Release : 2016-11-30
Category : Business & Economics
ISBN : 9781351727402

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Decision Sciences by Raghu Nandan Sengupta,Aparna Gupta,Joydeep Dutta Pdf

This handbook is an endeavour to cover many current, relevant, and essential topics related to decision sciences in a scientific manner. Using this handbook, graduate students, researchers, as well as practitioners from engineering, statistics, sociology, economics, etc. will find a new and refreshing paradigm shift as to how these topics can be put to use beneficially. Starting from the basics to advanced concepts, authors hope to make the readers well aware of the different theoretical and practical ideas, which are the focus of study in decision sciences nowadays. It includes an excellent bibliography/reference/journal list, information about a variety of datasets, illustrated pseudo-codes, and discussion of future trends in research. Covering topics ranging from optimization, networks and games, multi-objective optimization, inventory theory, statistical methods, artificial neural networks, times series analysis, simulation modeling, decision support system, data envelopment analysis, queueing theory, etc., this reference book is an attempt to make this area more meaningful for varied readers. Noteworthy features of this handbook are in-depth coverage of different topics, solved practical examples, unique datasets for a variety of examples in the areas of decision sciences, in-depth analysis of problems through colored charts, 3D diagrams, and discussions about software.

Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling

Ivan Jeliazkov,Justin Tobias
Topics in Identification Limited Dependent Variables Partial Observability Experimentation and Flexible Modeling Book PDF

Author : Ivan Jeliazkov,Justin Tobias
Publisher : Emerald Group Publishing
Page : 296 pages
File Size : 50,8 Mb
Release : 2019-08-30
Category : Business & Economics
ISBN : 9781789732436

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Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling by Ivan Jeliazkov,Justin Tobias Pdf

In honor of Dale J. Poirier, experienced editors Ivan Jeliazkov and Justin Tobias bring together a cast of expert contributors to explore the most up-to-date research on econometrics, including subjects such as panel data models, posterior simulation, and Bayesian models.

Macroeconomic Forecasting in the Era of Big Data

Peter Fuleky
Macroeconomic Forecasting in the Era of Big Data Book PDF

Author : Peter Fuleky
Publisher : Springer Nature
Page : 716 pages
File Size : 44,9 Mb
Release : 2019-11-28
Category : Business & Economics
ISBN : 9783030311506

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Macroeconomic Forecasting in the Era of Big Data by Peter Fuleky Pdf

This book surveys big data tools used in macroeconomic forecasting and addresses related econometric issues, including how to capture dynamic relationships among variables; how to select parsimonious models; how to deal with model uncertainty, instability, non-stationarity, and mixed frequency data; and how to evaluate forecasts, among others. Each chapter is self-contained with references, and provides solid background information, while also reviewing the latest advances in the field. Accordingly, the book offers a valuable resource for researchers, professional forecasters, and students of quantitative economics.

GARCH Models

Christian Francq,Jean-Michel Zakoian
GARCH Models Book PDF

Author : Christian Francq,Jean-Michel Zakoian
Publisher : John Wiley & Sons
Page : 504 pages
File Size : 47,5 Mb
Release : 2019-03-19
Category : Mathematics
ISBN : 9781119313564

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GARCH Models by Christian Francq,Jean-Michel Zakoian Pdf

Provides a comprehensive and updated study of GARCH models and their applications in finance, covering new developments in the discipline This book provides a comprehensive and systematic approach to understanding GARCH time series models and their applications whilst presenting the most advanced results concerning the theory and practical aspects of GARCH. The probability structure of standard GARCH models is studied in detail as well as statistical inference such as identification, estimation, and tests. The book also provides new coverage of several extensions such as multivariate models, looks at financial applications, and explores the very validation of the models used. GARCH Models: Structure, Statistical Inference and Financial Applications, 2nd Edition features a new chapter on Parameter-Driven Volatility Models, which covers Stochastic Volatility Models and Markov Switching Volatility Models. A second new chapter titled Alternative Models for the Conditional Variance contains a section on Stochastic Recurrence Equations and additional material on EGARCH, Log-GARCH, GAS, MIDAS, and intraday volatility models, among others. The book is also updated with a more complete discussion of multivariate GARCH; a new section on Cholesky GARCH; a larger emphasis on the inference of multivariate GARCH models; a new set of corrected problems available online; and an up-to-date list of references. Features up-to-date coverage of the current research in the probability, statistics, and econometric theory of GARCH models Covers significant developments in the field, especially in multivariate models Contains completely renewed chapters with new topics and results Handles both theoretical and applied aspects Applies to researchers in different fields (time series, econometrics, finance) Includes numerous illustrations and applications to real financial series Presents a large collection of exercises with corrections Supplemented by a supporting website featuring R codes, Fortran programs, data sets and Problems with corrections GARCH Models, 2nd Edition is an authoritative, state-of-the-art reference that is ideal for graduate students, researchers, and practitioners in business and finance seeking to broaden their skills of understanding of econometric time series models.

Handbook of Modeling High-Frequency Data in Finance

Frederi G. Viens,Maria Cristina Mariani,Ionut Florescu
Handbook of Modeling High Frequency Data in Finance Book PDF

Author : Frederi G. Viens,Maria Cristina Mariani,Ionut Florescu
Publisher : John Wiley & Sons
Page : 468 pages
File Size : 49,6 Mb
Release : 2011-12-20
Category : Business & Economics
ISBN : 9780470876886

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Handbook of Modeling High-Frequency Data in Finance by Frederi G. Viens,Maria Cristina Mariani,Ionut Florescu Pdf

CUTTING-EDGE DEVELOPMENTS IN HIGH-FREQUENCY FINANCIAL ECONOMETRICS In recent years, the availability of high-frequency data and advances in computing have allowed financial practitioners to design systems that can handle and analyze this information. Handbook of Modeling High-Frequency Data in Finance addresses the many theoretical and practical questions raised by the nature and intrinsic properties of this data. A one-stop compilation of empirical and analytical research, this handbook explores data sampled with high-frequency finance in financial engineering, statistics, and the modern financial business arena. Every chapter uses real-world examples to present new, original, and relevant topics that relate to newly evolving discoveries in high-frequency finance, such as: Designing new methodology to discover elasticity and plasticity of price evolution Constructing microstructure simulation models Calculation of option prices in the presence of jumps and transaction costs Using boosting for financial analysis and trading The handbook motivates practitioners to apply high-frequency finance to real-world situations by including exclusive topics such as risk measurement and management, UHF data, microstructure, dynamic multi-period optimization, mortgage data models, hybrid Monte Carlo, retirement, trading systems and forecasting, pricing, and boosting. The diverse topics and viewpoints presented in each chapter ensure that readers are supplied with a wide treatment of practical methods. Handbook of Modeling High-Frequency Data in Finance is an essential reference for academics and practitioners in finance, business, and econometrics who work with high-frequency data in their everyday work. It also serves as a supplement for risk management and high-frequency finance courses at the upper-undergraduate and graduate levels.

Alternative Assets and Cryptocurrencies

Christian Hafner
Alternative Assets and Cryptocurrencies Book PDF

Author : Christian Hafner
Publisher : MDPI
Page : 218 pages
File Size : 49,9 Mb
Release : 2019-07-26
Category : Business & Economics
ISBN : 9783038979784

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Alternative Assets and Cryptocurrencies by Christian Hafner Pdf

Alternative assets such as fine art, wine, or diamonds have become popular investment vehicles in the aftermath of the global financial crisis. Correlation with classical financial markets is typically low, such that diversification benefits arise for portfolio allocation and risk management. Cryptocurrencies share many alternative asset features, but are hampered by high volatility, sluggish commercial acceptance, and regulatory uncertainties. This collection of papers addresses alternative assets and cryptocurrencies from economic, financial, statistical, and technical points of view. It gives an overview of their current state and explores their properties and prospects using innovative approaches and methodologies.

Linear Models and Time-Series Analysis

Marc S. Paolella
Linear Models and Time Series Analysis Book PDF

Author : Marc S. Paolella
Publisher : John Wiley & Sons
Page : 896 pages
File Size : 55,7 Mb
Release : 2018-12-17
Category : Mathematics
ISBN : 9781119431909

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Linear Models and Time-Series Analysis by Marc S. Paolella Pdf

A comprehensive and timely edition on an emerging new trend in time series Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH sets a strong foundation, in terms of distribution theory, for the linear model (regression and ANOVA), univariate time series analysis (ARMAX and GARCH), and some multivariate models associated primarily with modeling financial asset returns (copula-based structures and the discrete mixed normal and Laplace). It builds on the author's previous book, Fundamental Statistical Inference: A Computational Approach, which introduced the major concepts of statistical inference. Attention is explicitly paid to application and numeric computation, with examples of Matlab code throughout. The code offers a framework for discussion and illustration of numerics, and shows the mapping from theory to computation. The topic of time series analysis is on firm footing, with numerous textbooks and research journals dedicated to it. With respect to the subject/technology, many chapters in Linear Models and Time-Series Analysis cover firmly entrenched topics (regression and ARMA). Several others are dedicated to very modern methods, as used in empirical finance, asset pricing, risk management, and portfolio optimization, in order to address the severe change in performance of many pension funds, and changes in how fund managers work. Covers traditional time series analysis with new guidelines Provides access to cutting edge topics that are at the forefront of financial econometrics and industry Includes latest developments and topics such as financial returns data, notably also in a multivariate context Written by a leading expert in time series analysis Extensively classroom tested Includes a tutorial on SAS Supplemented with a companion website containing numerous Matlab programs Solutions to most exercises are provided in the book Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH is suitable for advanced masters students in statistics and quantitative finance, as well as doctoral students in economics and finance. It is also useful for quantitative financial practitioners in large financial institutions and smaller finance outlets.

Management of Foreign Exchange Risk

Y. C. Lum,Sardar M. N. Islam
Management of Foreign Exchange Risk Book PDF

Author : Y. C. Lum,Sardar M. N. Islam
Publisher : Routledge
Page : 1149 pages
File Size : 44,8 Mb
Release : 2020-09-02
Category : Business & Economics
ISBN : 9781000172584

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Management of Foreign Exchange Risk by Y. C. Lum,Sardar M. N. Islam Pdf

This book provides a technical and specialised discussion of contemporary and emerging issues in foreign exchange and financial markets by addressing the issues of risk management and theory and hypothesis development, which have general implications for finance theory and foreign exchange market management. It offers an in-depth, comprehensive analysis of the issues concerning the volatility of exchange rates. The book has three main objectives. First, it applies the integrated study of exchange rate volatility in terms of depth and breadth. Second, it applies the integrated study of exchange rate volatility in Malaysia, as a case study of a developing country. Malaysia had imposed capital control measures in the past and has now liberalised its exchange rate market and will continue to liberalise it further in the long run. Hence, the need to understand exchange rate volatility measurement and management will be even more important in the future. Third, the book highlights new conditional volatility models for a developing country, such as Malaysia, and develops advanced econometric models which have produced results for sound risk management strategies and for achieving risk management in the financial market and the economy. Additionally, the authors recommend risk management themes which may be of relevance to other developing countries. This work can be used as a reference book by fund managers, financial market analysts, researchers, academics, practitioners, policy makers and postgraduate students in the areas of finance, accounting, business and financial economics. It can also be a supplementary text for Ph.D. and Masters’ students in these areas.

The Volatility Surface

Jim Gatheral
The Volatility Surface Book PDF

Author : Jim Gatheral
Publisher : Wiley
Page : 208 pages
File Size : 41,6 Mb
Release : 2006-09-18
Category : Business & Economics
ISBN : 9780470068250

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The Volatility Surface by Jim Gatheral Pdf

Praise for The Volatility Surface "I'm thrilled by the appearance of Jim Gatheral's new book The Volatility Surface. The literature on stochastic volatility is vast, but difficult to penetrate and use. Gatheral's book, by contrast, is accessible and practical. It successfully charts a middle ground between specific examples and general models--achieving remarkable clarity without giving up sophistication, depth, or breadth." --Robert V. Kohn, Professor of Mathematics and Chair, Mathematical Finance Committee, Courant Institute of Mathematical Sciences, New York University "Concise yet comprehensive, equally attentive to both theory and phenomena, this book provides an unsurpassed account of the peculiarities of the implied volatility surface, its consequences for pricing and hedging, and the theories that struggle to explain it." --Emanuel Derman, author of My Life as a Quant "Jim Gatheral is the wiliest practitioner in the business. This very fine book is an outgrowth of the lecture notes prepared for one of the most popular classes at NYU's esteemed Courant Institute. The topics covered are at the forefront of research in mathematical finance and the author's treatment of them is simply the best available in this form." --Peter Carr, PhD, head of Quantitative Financial Research, Bloomberg LP Director of the Masters Program in Mathematical Finance, New York University "Jim Gatheral is an acknowledged master of advanced modeling for derivatives. In The Volatility Surface he reveals the secrets of dealing with the most important but most elusive of financial quantities, volatility." --Paul Wilmott, author and mathematician "As a teacher in the field of mathematical finance, I welcome Jim Gatheral's book as a significant development. Written by a Wall Street practitioner with extensive market and teaching experience, The Volatility Surface gives students access to a level of knowledge on derivatives which was not previously available. I strongly recommend it." --Marco Avellaneda, Director, Division of Mathematical Finance Courant Institute, New York University "Jim Gatheral could not have written a better book." --Bruno Dupire, winner of the 2006 Wilmott Cutting Edge Research Award Quantitative Research, Bloomberg LP