Volatility as an Asset Class

Volatility as an Asset Class

Volatility derivatives are an important group of financial instruments and their list is much longer than volatility index futures and options. This book reviews methods used for measurement, estimation and forecasting volatility and presents major classes of volatility derivatives and their possible applications in investment strategies and portfolio optimization. Since volatility is not constant, its term structure and the phenomenon of the volatility risk premium… (more)

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Book Details  


Publisher: Peter Lang GmbH, Internationaler Verlag der Wissenschaften (April 13, 2015)

Collection: Polish Studies in Economics

Parent ISBN: 9783631655764

Page count: 178 pages

Language: English


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