Asset Price Dynamics Volatility And Prediction
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Asset Price Dynamics Volatility And Prediction
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Author : Stephen J. Taylor
language : en
Publisher: Princeton University Press
Release Date : 2011-02-11
Asset Price Dynamics Volatility And Prediction written by Stephen J. Taylor and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-02-11 with Business & Economics categories.
This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility, and their probability distributions. Stephen Taylor provides a comprehensive introduction to the dynamic behavior of asset prices, relying on finance theory and statistical evidence. He uses stochastic processes to define mathematical models for price dynamics, but with less mathematics than in alternative texts. The key topics covered include random walk tests, trading rules, ARCH models, stochastic volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions. Asset Price Dynamics, Volatility, and Prediction is ideal for students of economics, finance, and mathematics who are studying financial econometrics, and will enable researchers to identify and apply appropriate models and methods. It will likewise be a valuable resource for quantitative analysts, fund managers, risk managers, and investors who seek realistic expectations about future asset prices and the risks to which they are exposed.
Asset Price Dynamics Volatility And Prediction
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Author : Stephen J. Taylor
language : en
Publisher:
Release Date : 2005
Asset Price Dynamics Volatility And Prediction written by Stephen J. Taylor and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Business & Economics categories.
Stephen Taylor applies methods supported by research of equity and foreign exchange markets to demonstrate how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility and their probability distributions.
Commodity Price Dynamics
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Author : Craig Pirrong
language : en
Publisher: Cambridge University Press
Release Date : 2011-10-31
Commodity Price Dynamics written by Craig Pirrong and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-10-31 with Business & Economics categories.
Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.
Empirical Asset Pricing
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Author : Wayne Ferson
language : en
Publisher: MIT Press
Release Date : 2019-03-12
Empirical Asset Pricing written by Wayne Ferson and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-03-12 with Business & Economics categories.
An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Modelling Financial Time Series
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Author : Stephen J. Taylor
language : en
Publisher: World Scientific
Release Date : 2008
Modelling Financial Time Series written by Stephen J. Taylor and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Business & Economics categories.
This book contains several innovative models for the prices of financial assets. First published in 1986, it is a classic text in the area of financial econometrics. It presents ARCH and stochastic volatility models that are often used and cited in academic research and are applied by quantitative analysts in many banks. Another often-cited contribution of the first edition is the documentation of statistical characteristics of financial returns, which are referred to as stylized facts. This second edition takes into account the remarkable progress made by empirical researchers during the past two decades from 1986 to 2006. In the new Preface, the author summarizes this progress in two key areas: firstly, measuring, modelling and forecasting volatility; and secondly, detecting and exploiting price trends. Sample Chapter(s). Chapter 1: Introduction (1,134 KB). Contents: Features of Financial Returns; Modelling Price Volatility; Forecasting Standard Deviations; The Accuracy of Autocorrelation Estimates; Testing the Random Walk Hypothesis; Forecasting Trends in Prices; Evidence Against the Efficiency of Futures Markets; Valuing Options; Appendix: A Computer Program for Modelling Financial Time Series. Readership: Academic researchers in finance & economics; quantitative analysts.
Forecasting Volatility In The Financial Markets
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Author : John Knight
language : en
Publisher: Butterworth-Heinemann
Release Date : 2007-03-23
Forecasting Volatility In The Financial Markets written by John Knight and has been published by Butterworth-Heinemann this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-03-23 with Business & Economics categories.
Provides a survey of ways to measure risk and define the different models of volatility and return. This work is intended for readers with an understanding of volatility measures and risk management strategies.
Volatility And Correlation
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Author : Riccardo Rebonato
language : en
Publisher: John Wiley & Sons
Release Date : 2005-07-08
Volatility And Correlation written by Riccardo Rebonato and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-07-08 with Business & Economics categories.
In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation – with over 80% new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the ‘perfect-replication’ approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity/FX options. The book is split into four parts. Part I deals with a Black world without smiles, sets out the author’s ‘philosophical’ approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. It begins with a review of relevant empirical information about smiles, and provides coverage of local-stochastic-volatility, general-stochastic-volatility, jump-diffusion and Variance-Gamma processes. Part II concludes with an important chapter that discusses if and to what extent one can dispense with an explicit specification of a model, and can directly prescribe the dynamics of the smile surface. Part III focusses on interest rates when the volatility is deterministic. Part IV extends this setting in order to account for smiles in a financially motivated and computationally tractable manner. In this final part the author deals with CEV processes, with diffusive stochastic volatility and with Markov-chain processes. Praise for the First Edition: “In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging.... The book is a must-read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed.” —Professor Ian Cooper, London Business School “Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion...A rare combination of intellectual insight and practical common sense.” —Anthony Neuberger, London Business School
Computational Linguistics And Intelligent Text Processing
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Author : Alexander Gelbukh
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-03-18
Computational Linguistics And Intelligent Text Processing written by Alexander Gelbukh and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-03-18 with Computers categories.
This book constitutes the proceedings of the 11th International Conference on Computational Linguistics and Intelligent Text Processing, held in Iaşi, Romania, in March 2010. The 60 paper included in the volume were carefully reviewed and selected from numerous submissions. The book also includes 3 invited papers. The topics covered are: lexical resources, syntax and parsing, word sense disambiguation and named entity recognition, semantics and dialog, humor and emotions, machine translation and multilingualism, information extraction, information retrieval, text categorization and classification, plagiarism detection, text summarization, and speech generation.
Volatility Trading
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Author : Euan Sinclair
language : en
Publisher: John Wiley & Sons
Release Date : 2011-01-11
Volatility Trading written by Euan Sinclair and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-01-11 with Business & Economics categories.
In Volatility Trading, Sinclair offers you a quantitative model for measuring volatility in order to gain an edge in your everyday option trading endeavors. With an accessible, straightforward approach. He guides traders through the basics of option pricing, volatility measurement, hedging, money management, and trade evaluation. In addition, Sinclair explains the often-overlooked psychological aspects of trading, revealing both how behavioral psychology can create market conditions traders can take advantage of-and how it can lead them astray. Psychological biases, he asserts, are probably the drivers behind most sources of edge available to a volatility trader. Your goal, Sinclair explains, must be clearly defined and easily expressed-if you cannot explain it in one sentence, you probably aren't completely clear about what it is. The same applies to your statistical edge. If you do not know exactly what your edge is, you shouldn't trade. He shows how, in addition to the numerical evaluation of a potential trade, you should be able to identify and evaluate the reason why implied volatility is priced where it is, that is, why an edge exists. This means it is also necessary to be on top of recent news stories, sector trends, and behavioral psychology. Finally, Sinclair underscores why trades need to be sized correctly, which means that each trade is evaluated according to its projected return and risk in the overall context of your goals. As the author concludes, while we also need to pay attention to seemingly mundane things like having good execution software, a comfortable office, and getting enough sleep, it is knowledge that is the ultimate source of edge. So, all else being equal, the trader with the greater knowledge will be the more successful. This book, and its companion CD-ROM, will provide that knowledge. The CD-ROM includes spreadsheets designed to help you forecast volatility and evaluate trades together with simulation engines.