A Practical Guide to Forecasting Financial Market Volatility (The Wiley Finance Series)


A Practical Guide to Forecasting Financial Market Volatility
Wiley; 1 edition (June 17, 2005)
ISBN: 0470856130
236 pages PDF 1,1 Mb

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.

"Professor Poon exposes in her book current state-of-the-art volatility forecasting methods. Beginning with a description of various conditional volatility models, be it discrete or continuous, the link with option pricing models is well established. The book proceeds with surveying the current volatility literature: what type of volatility should be used to price options, how can volatility of various assets be predicted, how volatility can be used within a value-at-risk setting. This well written book should be useful both for the practitioner and the academic/student interested in volatility."
-Professor Michael Rockinger, FAME and University of Lausanne, Switzerland-

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A Practical Guide to Forecasting Financial Market Volatility (The Wiley Finance Series)

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