Volatility And Correlation In Financial Markets

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Volatility And Correlation In Financial Markets

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Author : Runquan Chen
language : en
Publisher:
Release Date : 2009

Volatility And Correlation In Financial Markets written by Runquan Chen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Academic theses categories.

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

Derivatives In Financial Markets With Stochastic Volatility

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Author : Jean-Pierre Fouque
language : en
Publisher: Cambridge University Press
Release Date : 2000-07-03

Derivatives In Financial Markets With Stochastic Volatility written by Jean-Pierre Fouque 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 2000-07-03 with Business & Economics categories.

This book, first published in 2000, addresses pricing and hedging derivative securities in uncertain and changing market volatility.

International Market Correlation And Volatility

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Author : Bruno H. Solnik
language : en
Publisher:
Release Date : 2000

International Market Correlation And Volatility written by Bruno H. Solnik and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.

Asymmetric Dependence In Finance

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Author : Jamie Alcock
language : en
Publisher: John Wiley & Sons
Release Date : 2018-02-02

Asymmetric Dependence In Finance written by Jamie Alcock 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 2018-02-02 with Business & Economics categories.

Avoid downturn vulnerability by managing correlation dependency Asymmetric Dependence in Finance examines the risks and benefits of asset correlation, and provides effective strategies for more profitable portfolio management. Beginning with a thorough explanation of the extent and nature of asymmetric dependence in the financial markets, this book delves into the practical measures fund managers and investors can implement to boost fund performance. From managing asymmetric dependence using Copulas, to mitigating asymmetric dependence risk in real estate, credit and CTA markets, the discussion presents a coherent survey of the state-of-the-art tools available for measuring and managing this difficult but critical issue. Many funds suffered significant losses during recent downturns, despite having a seemingly well-diversified portfolio. Empirical evidence shows that the relation between assets is much richer than previously thought, and correlation between returns is dependent on the state of the market; this book explains this asymmetric dependence and provides authoritative guidance on mitigating the risks. Examine an options-based approach to limiting your portfolio's downside risk Manage asymmetric dependence in larger portfolios and alternate asset classes Get up to speed on alternative portfolio performance management methods Improve fund performance by applying appropriate models and quantitative techniques Correlations between assets increase markedly during market downturns, leading to diversification failure at the very moment it is needed most. The 2008 Global Financial Crisis and the 2006 hedge-fund crisis provide vivid examples, and many investors still bear the scars of heavy losses from their well-managed, well-diversified portfolios. Asymmetric Dependence in Finance shows you what went wrong, and how it can be corrected and managed before the next big threat using the latest methods and models from leading research in quantitative finance.

Financial Market Volatility And The Implications For Market Regulation

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Author : Louis O. Scott
language : en
Publisher: International Monetary Fund
Release Date : 1990-11-01

Financial Market Volatility And The Implications For Market Regulation written by Louis O. Scott and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990-11-01 with Business & Economics categories.

Volatility in financial markets has forced economists to reexamine the validity of the efficient markets hypothesis, and new empirical approaches have been applied to the study of this important issue in recent years. Many of the recent studies have found evidence of excessive volatility. In the aftermath of the stock market crash of 1987 and the perceived increase in market volatility, some economists have advocated additional market regulations. Are these proposed regulations necessary and would they serve to reduce market volatility? This paper presents a review of recent studies on financial market volatility and examines the proposed regulations.

Stock Market Structure Volatility And Volume

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Author : Hans R. Stoll
language : en
Publisher:
Release Date : 1990

Stock Market Structure Volatility And Volume written by Hans R. Stoll and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Business & Economics categories.

International Market Correlation And Volatility

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Author : Bruno H. Solnik
language : en
Publisher:
Release Date : 1996

International Market Correlation And Volatility written by Bruno H. Solnik and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with categories.

Forecasting Volatility In The Financial Markets

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Author : John L. Knight
language : en
Publisher: Butterworth-Heinemann
Release Date : 2002

Forecasting Volatility In The Financial Markets written by John L. 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 2002 with Business & Economics categories.

This text assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting edge modeling and forecasting techniques. It then uses a technical survey to explain the different ways to measure risk and define the different models of volatility and return.

Modeling And Pricing Of Swaps For Financial And Energy Markets With Stochastic Volatilities

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Author : Anatoliy Swishchuk
language : en
Publisher: World Scientific
Release Date : 2013-06-03

Modeling And Pricing Of Swaps For Financial And Energy Markets With Stochastic Volatilities written by Anatoliy Swishchuk and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-06-03 with Business & Economics categories.

Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities is devoted to the modeling and pricing of various kinds of swaps, such as those for variance, volatility, covariance, correlation, for financial and energy markets with different stochastic volatilities, which include CIR process, regime-switching, delayed, mean-reverting, multi-factor, fractional, Levy-based, semi-Markov and COGARCH(1,1). One of the main methods used in this book is change of time method. The book outlines how the change of time method works for different kinds of models and problems arising in financial and energy markets and the associated problems in modeling and pricing of a variety of swaps. The book also contains a study of a new model, the delayed Heston model, which improves the volatility surface fitting as compared with the classical Heston model. The author calculates variance and volatility swaps for this model and provides hedging techniques. The book considers content on the pricing of variance and volatility swaps and option pricing formula for mean-reverting models in energy markets. Some topics such as forward and futures in energy markets priced by multi-factor Levy models and generalization of Black-76 formula with Markov-modulated volatility are part of the book as well, and it includes many numerical examples such as S&P60 Canada Index, S&P500 Index and AECO Natural Gas Index. Contents:Stochastic VolatilityStochastic Volatility ModelsSwapsChange of Time MethodsBlack-Scholes Formula by Change of Time MethodModeling and Pricing of Swaps for Heston ModelModeling and Pricing of Variance Swaps for Stochastic Volatilities with DelayModeling and Pricing of Variance Swaps for Multi-Factor Stochastic Volatilities with DelayPricing Variance Swaps for Stochastic Volatilities with Delay and JumpsVariance Swap for Local Lévy-Based Stochastic Volatility with DelayDelayed Heston Model: Improvement of the Volatility Surface FittingPricing and Hedging of Volatility Swap in the Delayed Heston ModelPricing of Variance and Volatility Swaps with Semi-Markov VolatilitiesCovariance and Correlation Swaps for Markov-Modulated VolatilitiesVolatility and Variance Swaps for the COGARCH(1,1) ModelVariance and Volatility Swaps for Volatilities Driven by Fractional Brownian MotionVariance and Volatility Swaps in Energy MarketsExplicit Option Pricing Formula for a Mean-Reverting Asset in Energy MarketsForward and Futures in Energy Markets: Multi-Factor Lévy ModelsGeneralization of Black-76 Formula: Markov-Modulated Volatility Readership: Post-graduate level researchers and professionals with interest in the modeling and pricing of swaps for energy and financial markets. Keywords:Stochastic Volatilities;Variance, Volatility, Covariance, Correlation Swaps;Change of Time;Option Pricing;Stochastic Volatilities with Delay;Multi-Factor Stochastic Volatilities Models;Regime-Switching Stochastic Volatilities;Levy-Based Stochastic Volatilities with Delay;COGARCH Stochastic Volatility;Stochastic Volatility Driven by Fractional Brownian Motion;Delayed Heston Model;Semi-Markov Stochastic Volatilities;Energy Markets;Forward and Futures in Energy MarketsKey Features:Provides coverage on topic of swaps not covered in such detail by other titles, in relation to energy and financial marketsIn particular, offers a comprehensive treatment of various types of swaps and a variety of stochastic volatility models, in relation to energy and financial marketsReviews: “A separate session about the derivative pricing on the energy market is included. Moreover, this book provides many numerical examples to illustrate applications of the stochastic volatility pricing models. This book is quite useful not only for academics and researchers in mathematical and energy finance, but also for practitioners in the financial and energy industries.” Zentralblatt MATH