Book Description
Hedge funds are now the largest volume players in the capital markets. They follow a wide assortment of strategies but their activities have replaced and overshadowed the traditional model of the long only portfolio manager. Many of the traditional technical indicators and commonly accepted trading strategies have become obsolete or ineffective.
The focus throughout the book is to describe the principal innovations that have been made within the equity markets over the last several years and that have changed the ground rules for trading activities. By understanding these changes the active trader is far better equipped to profit in today’s more complex and risky markets. Long/Short Market Dynamics includes:
- A completely new technique, Comparative Quantiles Analysis, for identifying market turning points is introduced. It is based on statistical techniques that can be used to recognize money flow and price/momentum divergences that can provide substantial profit opportunities.
- Power laws, regime shifts, self-organized criticality, phase transitions, network dynamics, econophysics, algorithmic trading and other ideas from the science of complexity are examined. All are described as concretely as possible and avoiding unnecessary mathematics and formalism.
- Alpha generation, portfolio construction, hedge ratios, and beta neutral portfolios are illustrated with case studies and worked examples.
- Episodes of financial contagion are illustrated with a proposed explanation of their origins within underlying market dynamics
Average customer rating:
- Poorly explained
- A very good introduction
- A dated overview, with little real meat
- Good overview, bad balance
- Commit it to the flames
|
Chaos and Order in the Capital Markets: A New View of Cycles, Prices, and Market Volatility (Wiley Finance)
Edgar E. Peters
Manufacturer: Wiley
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Similar Items:
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Fractal Market Analysis: Applying Chaos Theory to Investment and Economics
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Complexity, Risk, and Financial Markets
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The (Mis) Behavior of Markets: A Fractal View of Risk, Ruin And Reward
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Fractals and Scaling In Finance
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Why Stock Markets Crash: Critical Events in Complex Financial Systems
ASIN: 0471139386 |
Book Description
The latest developments in chaos theory - from an industry expert
Chaos and Order in the Capital Markets was the first book to introduce and popularize chaos as it applies to finance. It has since become the classic source on the topic. This new edition is completely updated to include the latest ripples in chaos theory with new chapters that tie in today's hot innovations, such as fuzzy logic, neural nets, and artificial intelligence.
Critical praise for Peters and the first edition of Chaos and Order in the Capital Markets
"The bible of market chaologists." - BusinessWeek
"Ed Peters has written a first-class summary suitable for any investment professional or skilled investor." - Technical Analysis of Stocks & Commodities
"It ranks among the most provocative financial books of the past few years. Reading this book will provide a generous payback for the time and mental energy expended." - Financial Analysts Journal
This second edition of Chaos and Order in the Capital Markets brings the topic completely up to date with timely examples from today's markets and descriptions of the latest wave of technology, including genetic algorithms, wavelets, and complexity theory.
Chaos and Order in the Capital Markets was the very first book to explore and popularize chaos theory as it applies to finance. It has since become the industry standard, and is regarded as the definitive source to which analysts, investors, and traders turn for a comprehensive overview of chaos theory. Now, this invaluable reference - touted by BusinessWeek as "the bible of market chaologists" - has been updated and revised to bring you the latest developments in the field.
Mainstream capital market theory is based on efficient market assumptions, even though the markets themselves exhibit characteristics that are symptomatic of nonlinear dynamic systems. As it explores - and validates - this nonlinear nature, Chaos and Order repudiates the "random walk" theory and econometrics. It shifts the focus away from the concept of efficient markets toward a more general view of the forces underlying the capital market system.
Presenting new analytical techniques, as well as reexamining methods that have been in use for the past forty years, Chaos and Order offers a thorough examination of chaos theory and fractals as applied to investments and economics. This new edition includes timely examples from today's markets and descriptions of cutting-edge technologies-genetic algorithms, wavelets, complexity theory-and hot innovations, such as fuzzy logic and artificial intelligence.
Beyond the history of current capital market theory, Chaos and Order covers the crucial characteristics of fractals, the analysis of fractal time series through rescaled range analysis (R/S), the specifics of fractal statistics, and the definition and analysis of chaotic systems. It offers an in-depth exploration of:
* Random walks and efficient markets - the development of the efficient market hypothesis (EMH) and modern portfolio theory
* The linear paradigm - why it has failed
* Nonlinear dynamic systems - phase space, the Henon Map, Lyapunov exponents
* Applying chaos and nonlinear methods - neural networks, genetic algorithms
* Dynamical analysis of time series - reconstructing a phase space, the fractal dimension
Tonis Vaga's Coherent Market Hypothesis - the theory of social imitation, control parameters, Vaga's implementations
Plus, Chaos and Order now contains a Windows-compatible disk including data sets for running analyses described in the appendices.
Written by a leading expert in the field, Chaos and Order in the Capital Markets has all the information you need for a complete, up-to-date look at chaos theory. This latest edition will undoubtedly prove to be as invaluable as the first.
Customer Reviews:
Poorly explained.......2004-02-04
I have a university maths degree and found the book very obvious and drawn out for the first few chapters. In spite of this I looked forward to what was going to be explained later. Suddenly from a very simple and easy to understand explanation on the EMH he starts to use mathematics in his equations that I had a lot of difficulty following. There was very little or no explanation of how these equations were arrived at and a lot of mathematics and statisics is assumed. This book does not apply the theory in ny meaningful way to the markets let alone the capital markets in my opinion. I found that I took very little away from this book and would not recommend it to anyone who has basic mathematics like myself or is looking for some deeper insight into the markets. I would hate to have Mr Peters as a teacher based on his book.
A very good introduction.......2004-02-01
I read this book, the 1991 version, years ago. Around 1980 my own attempts to crack share prices statistically convinced me that all share prices behaved like a Gaussian random walk meaning that all speculation was comparable with playing roulette and I am not one of those guys who usually wins when gambling. This view was strengthened when the option pricing model came up, meaning that even the real pro's in the field assume that share prices are nothing but a random walk. This book has opened my eyes to the fact that there is much more to randomness than just the Gaussian curve. Share prices are not fully random. Impressive is the demonstration that an RS analysis on the real data is different when applying the same RS analysis on scrambled data. So there is information hidden in these time series, somewhere. Since then I have picked up the subject of cracking time series again with great pleasure. I think this book is exceptionally well written and without it I doubt if I would have been able to follow Mandelbrot's book "scaling and fractals in finance" that I bought later. The book is about understanding a subject, not about learning a simple formula to apply on a time series.
A dated overview, with little real meat.......2003-02-10
The second edition of this book was published in 1996. The book
seems to be largely based on Feder's 1988 book "Fractals". The
dated nature of this book means that it is missing later work
on long memory processes, which Peters estimates using the Hurst
exponent.
As one reviewer already noted, don't assume that this book will
provide much in the way of useful equations. For anyone who wants
more than an overview, this book is a disappointment. Peters does
a poor job of explaining the equations and I did not find enough
detail to implement the algorithms discussed (I turned to Feder's
book and various journal articles). The book does come with a
"floppy" disk containing the Visual Basic algorithms. This is
a poor choice, since C is pretty much the lingua franca for
algorithms.
The various chaos and fractal techniques are applied to a handful
of financial data sets, but this is far from even a solid
suggestion that these techniques might be useful to anyone
developing real market models.
Some of the conclusions that Peters draws (cycles in financial
data) do not seem to be supported the evidence he presents.
In summary, if you are looking for something beyond an overview,
save your money. Feder ("Fractals") has a better description of
RS calculation. "A Non-Random Walk Down Wall Street" by Lo
and MacKinlay has a chapeter on the application of the RS
statistic and long-memory processes which is much better than
Peters. For those who need to simulate fractal brownian motion
(data sets with a particular Hurst exponent) "The Science of
Fractal Images" by Barnsley et all is a good reference.
Good overview, bad balance.......2001-03-22
If you're looking for a purely conceptual introduction to how chaos theory can be applied to financial markets, this book is as good a source as any. Peters's discussion of R/S statistics and the graphical examples drawn from the markets are clear and intuitive (Ch. 7-8). The key point demonstrating long-term memory effects in the market is well made.
However he spends an inordinate amount of time attacking the foundations of the efficient market hypothesis (EMH) to the point of being boring, yet the argument boils down to "it has errors when compared to reality". Duh, so does every other theory, including fractal. The real issue is "for the error in theory A, how bad are the results X, and is theory B much better at it?" If you're not going to do that, don't spend 40 pages (Ch. 1-4) on it. This is misleading to those not familiar with EMH, and boring to those who are.
Don't look to this book for good math. In my edition (1991), careless and erroneous notations abound. Also, the equations are written in BASIC notation which is notoriously hard to visualize, but this is probably the fault of the editor/publisher. Peters makes frequent and unannounced jumps between the apparent rigor of math and loose conjectures. The math is distracting to a qualitative reader, and the conjectures irritating to the quantitative one. Better to cater to one audience, and do it well.
Still, I would recommend this book as a good conceptual introduction to the subject. But if you're planning to go deeper, use the equations in this book at your own perils. Go to the source.
Commit it to the flames.......2001-01-04
For those of you intrigued by chaos versus the financial markets, I would suggest you get the basic knowledge in Garnett P. Williams "Chaos Theory Tamed" (if you don't mind being explained in the first twenty chapters things like the laws of exponents and logarithms), or the Devaney books, for people with some maths. By the time you finish these honest, carefully and painstakingly written books, you will have a fair understanding of what chaos theory is about, and you will also see that while it is interesting stuff, it is hard to imagine it having any practical relevance to finance, since finance is the realm of stochastic, not deterministic phenomena.
Mr. Peters' readers will not have the chance of gaining such a perspective on chaos or on finance, alas. Mr. Peters hasn't produced a clear, comprehensible text, but rather a imprecise and frustrating piece, presumably written in a very short time, filled with a huge number of graphs having epsilon informational content. It is also full of conceptual mistakes - Mr. Peters most probably doesn't have a good grasp of what he's speaking about, but to be fair, it is hard to tell since the implicit message of the book is: "Hey, like I'm going to give out all my secrets...! Forget it, baby!", so the readers are never given all of the story. Readers therefore have to decide whether they believe that the author has found a meaningful and secret way to use chaos, that unfortunately will not be revealed, or whether the author should be put in the same category as those who write about Crystals or Financial Astrology.
Can smart people make profit with chaos theory? Certainly! However, the only way to do so is by writing books about it...
Profit which seems interesting, since Wiley accepted to publish a second product from Mr. Peters, thereby losing all credibility as an editor of financial books.
Book Description
Malliavin calculus provides an infinite-dimensional differential calculus in the context of continuous paths stochastic processes. The calculus includes formulae of integration by parts and Sobolev spaces of differentiable functions defined on a probability space. This new book, demonstrating the relevance of Malliavin calculus for Mathematical Finance, starts with an exposition from scratch of this theory. Greeks (price sensitivities) are reinterpreted in terms of Malliavin calculus. Integration by parts formulae provide stable Monte Carlo schemes for numerical valuation of digital options. Finite-dimensional projections of infinite-dimensional Sobolev spaces lead to Monte Carlo computations of conditional expectations useful for computing American options. The discretization error of the Euler scheme for a stochastic differential equation is expressed as a generalized Watanabe distribution on the Wiener space. Insider information is expressed as an infinite-dimensional drift. The last chapter gives an introduction to the same objects in the context of jump processes where incomplete markets appear.
Book Description
This important work addresses problems in financial mathematics of pricing and hedging derivative securities in an environment of uncertain and changing market volatility. These problems are important to investors from large trading institutions to pension funds. The authors present mathematical and statistical tools that exploit the volatile nature of the market. The mathematics is introduced through examples and illustrated with simulations and the modeling approach that is described is validated and tested on market data. The material is suitable for a one-semester course for graduate students with some exposure to methods of stochastic modeling and arbitrage pricing theory in finance. The volume is easily accessible to derivatives practitioners in the financial engineering industry.
Customer Reviews:
Great book!.......2003-09-17
This book provides a lucid explanation of how to incorporate stochastic volatility into your favorite model. The book also explains most of the topics from the ground up. Highly recommended!
Book Description
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.
Customer Reviews:
Nice collection of recipes but not for academic interest.......2007-09-24
I read the book in a hurry to return it to a colleague who lent me a copy. Indeed my focused intention was to seek for a few items I would like to see in a book as opposed to a review article. So my comments will be incomplete and potentially prejudicious.
(1) The Preface states that "only volatility models that have been tested for the forecasting performance are selected for further analysis and discussion". I am a bit disappointed to find the multifractal approach entirely absent from the text. The method has been analyzed in details (out-of-sample tests) by Thomas Lux (Univ of Kiel) and thus should be included.
(2) The volatility proxies are mentioned only in passing, for example, Alizadeh, Brandt, and Diebold's range-based proxy (section 1.3.2). These authors clarified the advantages/importance of the range.
(3) The text provides a (practical) recipe but not the philosophy of why volatility forecasting models should work (and thus can be trusted.) To the best of my knowledge, this philosophy is barely addressed in published articles in the field anyway (apart from an empirical or pragmatic attitude). The book makes no further advance in this conceptual direction.
I rate the book at 4 stars for its potential value in practical use.
Book Description
Market Volatility proposes an innovative theory, backed by substantial statistical evidence, on the causes of price fluctuations in speculative markets. It challenges the standard efficient-markets model for explaining asset prices by emphasizing the significant role that popular opinion or psychology can play in price volatility.
Offering detailed analyses of the stock, the bond, and the real estate markets, Shiller discusses the relations of these speculative prices and extends the analysis of speculative markets to macroeconomic activity in general.
Robert J. Shiller is Stanley B. Resor Professor of Economics at the Cowles Foundation, Yale University.
Customer Reviews:
Good but technical.......2007-05-14
There are some long reviews on the book by professionals that I can't match in content. However for readers interested in this book because of previous reading of 'irrational exuberance' or even 'the new financial order', be warned! It is a pretty technical book with lot's of statistics. Without basic knowledge of all the R's and covariances a lot of the true value gets lost. Still Robert Shiller is a clear thinker and even without a good grasp of teh statistics it still contains interesting observations.
An Academic with a brain!.......2001-11-27
Shiller does to the Effecient Market Theory what Columbus did to the flat earth theory. This is one of the finest books on markets I have read, and I have read hundreds.
Nice one but..............2001-06-10
It is a nice book.But for me,I love Shleifer's "Inefficient market" more.This book focus on the Divident-to-price ratio and use it for the analysis of the market volatility.The writer does give us some insight about the market.But I doubt if it could stand for a long... since the market is changing all the time.
The best book on volatility ever written!.......1998-08-24
I am a futures trader/ stock investor/ produce distributor. My constant involvement in markets of one kind or another led me to develop a deep desire to understand volatility. Unfortunately the only books I could find dealt with option volatility. "Market Volatility" has been THE best book dealing with market mechanics that I have ever read. I recommend the book as a "must have" to my friends in the industry.
Book Description
The electricity, natural gas, and other energy markets are on the brink of becoming THE hot opportunity for institutional investors worldwide. In fact, the growth in volume for NYMEX and IPE energy contracts is the only proof you need of the enormous potential in trading these markets. Now, for the first time, this book gives you step-by-step directions on taking advantage of this developing resource. Energy Risk walks you through properly assessing and evaluating the enormous opportunities that are unique to this complex yet vibrant market. It provides not only an expert overview of energy trading but also the philosophies and specific investment strategies you need. Harvard-trained physicist Dragana Pilipovic reveals the intricacies and mechanics of today's energy markets, provides practical answers on how best to get a foothold in energy trading, and also discusses: In-depth explanations of the primary factors that influence energy risk, such as spot price behavior, volatility, and the forward price curve; A detailed introduction to the fundamental price drivers of energy markets including electricity, natural gas, and heating and crude oil; Clearly defined ways that you can use tools introduced throughout the book to achieve your company's crucial risk/return goals. Containing unique trading models that were custom-designed for managing risk in energy and commodity trading, and with over 175 charts and graphs that illustrate key features of the market's equations, correlations, and methodologies. Energy Risk will be the standard energy market reference for many years to come.
Customer Reviews:
waste of time and money.......2007-06-14
Someone , in his review, said that 50% was useless and another reader added that "I wouldn't buy it with my money": I disagee: 99% of the book is utterly useless and would noy buy it with my worst enemy's money. I'd rather spend it on something else.
I saw that there is a new edition: Please do yourself a favor: DO NOT BUY IT!
A good general introduction but needs more case studies.......2005-04-12
It is now a tautology to say that energy derivatives are very important financial instruments. Energizing a market of billions of dollars, they are useful to many different organizations and find their place in myriads of both business and personal portfolios. This book is written for those readers who are just entering the field of energy derivatives, but yet who still have a background in other areas of financial engineering. It emphasizes risk minimization, and also gives some of the author's unique perspective on the subject. Only the first six chapters were read by this reviewer and so only these will be reviewed here.
The first chapter of the book discusses the general properties of energy derivatives and the concept of risk management. The author distinguishes between `quantitative' analysis, which emphasizes the construction of models that replicate market behavior, and `fundamental' analysis, which is an attempt to understand and describe market behavior in terms of the economics of supply and demand. The author emphasizes fundamental analysis in the book. She also outlines what makes energy derivatives unique in their analysis, i.e. what makes them different from interest rate and equity markets in terms of these different analysis categories. Energy markets exhibit stronger mean reversion, she argues, and supply constraints can "shock" the system. These differences motivate the introduction of the topics of `convenience yield' and seasonality that do not have to be used in other types of markets.
Chapter 2 gets into the actual construction of financial models, with the author emphasizing the need for effective benchmarking of these models. She constructs some elementary stochastic price models and introduces some of the basic modeling terminology to be used in the book. One of these concepts is the `convenience yield' that represents the benefit that a holder of a commodity receives by holding the commodity, and is a measure of the balance between the available supply and the existing demand. Defining the convenience yield is difficult, but dominates the mathematical modeling of the energy markets. The author spends a fair amount of time discussing the mean-reversion process with more to come in later chapters. She also discusses the difference between yield and forward rate curves, a forward curve geared toward short-term interest rates, while a yield curve is a discount rate curve representing average rates from the present to points along the time axis.
In chapter 3 the author discusses some of the mathematical/statistical tools involved in energy derivatives, with the analysis of time series and distribution analysis being the two dominant tools that are examined. Time series are used to monitor day-to-day changes in prices, while distribution analysis deals with price levels over extended intervals of time. The material in the chapter is standard, and should be helpful to readers who need a review of it.
Chapter 4 is an introduction to the modeling of spot prices, with the assumption that supply and demand effects converge in the spot market prices. Derivative contracts are bought and sold with the belief that this convergence holds. After a quick look at actual time series of spot prices, the author constructs a lognormal price model and two mean-reverting models. Lognormal price models are of course standard constructions in financial engineering, and are popular for their simplicity and for enforcing positive-definiteness. Negative autocorrelation between spot prices are characteristic of energy markets, and is satisfied in mean-reverting models. The author also introduces one of her models, a two-factor model, with the first factor being the spot price, and the second factor a long-term equilibrium price, which when the latter is zero gives a single-factor model for the energy commodity spot price. Time series analysis is used to obtain the model parameters and distribution analysis is used to test the models over extended time periods. The distribution analysis involves Monte Carlo simulation, and the results showing the differences between actual and sample model simulated distributions.
Recognizing the importance of forward prices in derivatives pricing and risk management, the author gives a detailed treatment of them in chapter 5. The author points out, interestingly, that there is no correlation between energy futures prices to interest rates in the energy commodity markets. The futures and forward prices are valued in an identical manner in energy markets, and energy future price and forward price can be used interchangeably. She also uses the no-arbitrage market condition to show that spot and forward prices are different, and derives partial differential equations for the forward price, both with and without dividends.
Chapter 6 is extremely important, especially for the development of practical trading strategies, for it concerns measures of volatility for price processes. The volatility of the spot price gives information about the degree of randomness in the returns of the spot price over short intervals of time. Traders are of course very interested in volatilities, since the width of the price distribution is related to the probability of the option expiring in-the-money. This is well-known in financial modeling of derivatives, but there are some peculiarities in energy markets, such as "volatility term structure", that make the modeling process more difficult. The author discusses how to calculate historical, market-implied, and model-implied volatilities, and introduces the (two-dimensional) `discrete volatility matrix', the latter of which is due to the author. Several justifications are given for using a two-dimensional matrix of volatilities rather than a single-volatility term structure. The author does not however give any practical reasons for using this matrix or case studies that would illustrate its advantages. Reference is given to a commercial product that uses it, but it would have been helpful to the reader if the author had given more details on its use in practical everyday trading.
Not for newcomers.......2003-06-26
I work in the energy products/generation industry and thought this will help explain what the whole energy-risk field is about. I'm still as confused now as I was before I bought the book .. probably because I dont have a strong background in computational finance. This is defintely not for newcomers and is really geared to the quants.
Not for newcomers.......2003-06-26
I work in the energy products/generation industry and thought this will help explain what the whole energy-risk field is about. I'm still as confused now as I was before I bought the book .. probably because I dont have a strong background in computational finance. This is defintely not for newcomers and is really geared to the quants.
For the Technically Minded Only........2002-03-05
This is a very useful book for those who are looking for a basic primer on risk management tools where the examples are specific to energy related derviatives.
The test is technical so this is appropriate for those who can understand sophisticated mathematical and statistical concepts. BR>Unfortunately, for someone in that audience the information is not very much different from what they already understand.
However, since it uses specific energy examples throughout the text it is useful for those looking for techniques to apply to th energy markets. Also derivatives of the energy markets are reviewed.
Book Description
This new edition of Forecasting Volatility in the Financial Markets 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 modelling and forecasting techniques. It provides a survey of ways to measure risk and define the different models of volatility and return. Editors John Knight and Stephen Satchell have brought together an impressive array of contributors who present research from their area of specialization related to volatility forecasting. Readers with an understanding of volatility measures and risk management strategies will benefit from this collection of up-to-date chapters on the latest techniques in forecasting volatility.
Chapters new to this third edition:
* What good is a volatility model? Engle and Patton
* Applications for portfolio variety Dan diBartolomeo
* A comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices Rob Cornish
* Volatility modeling and forecasting in finance Xiao and Aydemir
* An investigation of the relative performance of GARCH models versus simple rules in forecasting volatility Thomas A. Silvey
* Leading thinkers present newest research on volatility forecasting
*International authors cover a broad array of subjects related to volatility forecasting
*Assumes basic knowledge of volatility, financial mathematics, and modelling
Average customer rating:
- Compact And a little profound
|
Stochastic Volatility in Financial Markets: Crossing the Bridge to Continuous Time (Dynamic Modeling and Econometrics in Economics and Finance)
Antonio Mele , and
Fabio Fornari
Manufacturer: Springer
ProductGroup: Book
Binding: Hardcover
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ASIN: 0792378423 |
Book Description
Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into three main parts. The first part aims at documenting an empirical regularity of financial price changes: the occurrence of sudden and persistent changes of financial markets volatility. This phenomenon, technically termed `stochastic volatility', or `conditional heteroskedasticity', has been well known for at least 20 years; in this part, further, useful theoretical properties of conditionally heteroskedastic models are uncovered. The second part goes beyond the statistical aspects of stochastic volatility models: it constructs and uses new fully articulated, theoretically-sounded financial asset pricing models that allow for the presence of conditional heteroskedasticity. The third part shows how the inclusion of the statistical aspects of stochastic volatility in a rigorous economic scheme can be faced from an empirical standpoint.
Customer Reviews:
Compact And a little profound.......2001-06-09
Just as the title, it is a compact book and not so easy to read. It is a technic book for us to understand how to measure the volitility in the financial market.It takes me a lot of time to read this one.I think it would be better for people to know a little stochastic calculus at first and then try to read it.... It is a good book I think and suits for the one who wants to know the topic more deeply.
Average customer rating:
- What a great disappointment¡¡¡
|
Forecasting Volatility in the Financial Markets, Second Edition (Quantitative Finance)
Manufacturer: Butterworth-Heinemann
ProductGroup: Book
Binding: Hardcover
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Similar Items:
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A Practical Guide to Forecasting Financial Market Volatility (The Wiley Finance Series)
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Inside Volatility Arbitrage : The Secrets of Skewness
ASIN: 0750655151 |
Book Description
'Forecasting Volatility in the Financial Markets' 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 modelling 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.
The editors have brought together a set of contributors that give the reader a firm grounding in relevant theory and research and an insight into the cutting edge techniques applied in this field of the financial markets.
This book is of particular relevance to anyone who wants to understand dynamic areas of the financial markets.
* Traders will profit by learning to arbitrage opportunities and modify their strategies to account for volatility.
* Investment managers will be able to enhance their asset allocation strategies with an improved understanding of likely risks and returns.
* Risk managers will understand how to improve their measurement systems and forecasts, enhancing their risk management models and controls.
* Derivative specialists will gain an in-depth understanding of volatility that they can use to improve their pricing models.
* Students and academics will find the collection of papers an invaluable overview of this field.
This book is of particular relevance to those wanting to understand the dynamic areas of volatility modeling and forecasting of the financial marketsProvides the latest research and techniques for Traders, Investment Managers, Risk Managers and Derivative Specialists wishing to manage their downside risk exposure
Current research on the key forecasting methods to use in risk management, including two new chapters
Customer Reviews:
What a great disappointment¡¡¡ .......2005-06-25
This book really frustrated me. It doesn?t reflects what I truly expected. What am I going to do with this book? Throw it away, burn it or use it as toilet paper. This book is disastrous. Do it again, with exercises, spreadsheets, solved cases, CD, etc. I?m going to rate this book with 1 star. I want my money back.
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- Mastering the Trade (McGraw-Hill Trader's Edge)
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- Modeling Structured Finance Cash Flows with Microsoft Excel: A Step-by-Step Guide.Book & CD-ROM
- Modern Investment Management: An Equilibrium Approach
- Money, Banking, and Financial Markets
- Neoclassical Finance (Princeton Lectures in Finance)
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