An aid to understanding the significance of volatility in the financial market, this text details modelling/forecasting techniques and uses a technical survey to define the models of volatility and return and explain the ways to measure risk. Applications in the financial markets are then detailed.
Sprache
Verlagsort
Verlagsgruppe
Elsevier Science & Technology
Zielgruppe
Für höhere Schule und Studium
Für Beruf und Forschung
Illustrationen
Maße
Höhe: 234 mm
Breite: 156 mm
Gewicht
ISBN-13
978-0-7506-4081-7 (9780750640817)
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Schweitzer Klassifikation
Part 1: understanding volatility and risk; modelling volatility; forecasting volatility; GARCH; stochastic volatility; different measures of risk. Part 2: volatility in the financial markets; using volatility in global tactical asset allocation; volatility in trading strategies; measuring volatility in VAR; riskmetrics treatment of volatility; volatility in risk management; volatility and derivative markets.
