| Description |
viii, 407 pages : illustrations ; 25 cm |
| Series |
Quantitative finance series |
|
Quantitative finance series.
|
| Contents |
Machine derived contents note: Table of contents for Forecasting volatility in the financial markets / edited by John Knight, Stephen Satchell. -- Bibliographic record and links to related information available from the Library of Congress catalog -- Information from electronic data provided by the publisher. May be incomplete or contain other coding. -- Contributors -- Introduction -- Volatility modelling in finance -- Stochastic volatility and option pricing -- Modelling slippage: an application to the bund futures contract -- Real trading volume and price action in the foreign exchange markets -- Implied risk-neutral probability density functions from option prices: a central bank perspective -- Hashing GARCH: a reassessment of volatility forecasting performance -- Implied volatility forecasting: a comparison of different procedures including fractionally integrated models with applications to UK equity options -- GARCH predictions and the predictions of option prices -- Volatility forecasting in a tick data model -- An econometric model of downside risk -- Variations in the mean and volatility of stock returns around turning points of the business cycle -- Long memory in stochastic volatility -- GARCH processes - some exact results, some difficulties and a suggested remedy -- Generating composite volatility forecasts with random factor betas -- The information content of the FTSE 100 Index Option implied volatility and its structural changes with links to loss aversion -- Index. -- Library of Congress subject headings for this publication: Options (Finance) Mathematical models, Securities Prices Mathematical models, Stock price forecasting Mathematical models |
| Notes |
Previous ed.: 1998 |
| Bibliography |
Includes bibliographical references and index |
| Subject |
Options (Finance) -- Mathematical models.
|
|
Securities -- Prices -- Mathematical models.
|
|
Stock price forecasting -- Mathematical models.
|
| Author |
Knight, John L.
|
|
Satchell, S. (Stephen)
|
| LC no. |
2002033236 |
| ISBN |
0750655151 : |
|
