免费下载书籍地址：PDF下载地址
精美图片
A PRACTICAL GUIDE TO FORECASTING FINANCIAL MARKET VOLATILITY 金融市场挥发性预测实用指南书籍详细信息
- ISBN：0470856130
- 作者：暂无作者
- 出版社：暂无出版社
- 出版时间：2005-06
- 页数：236
- 价格：961.80
- 纸张：胶版纸
- 装帧：精装
- 开本：暂无开本
- 语言：未知
- 丛书：暂无丛书
- TAG：暂无
- 豆瓣评分：暂无豆瓣评分
内容简介：
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.
书籍目录：
Foreword by Clive Granger
Preface
1 Volatility Definition and Estimation
1.1 What is volatility?
1.2 Financial market stylized facts
1.3 Volatility estimation
1.3.1 Using squared return as a proxy for daily volatility
1.3.2 Using the high–low measure to proxy volatility
1.3.3 Realized volatility, quadratic variation and jumps
1.3.4 Scaling and actual volatility
1.4 The treatment of large numbers
2 Volatility Forecast Evaluation
2.1 The form of Xt
2.2 Error statistics and the form of εt
2.3 Comparing forecast errors of different models
2.3.1 Diebold and Mariano’s asymptotic test
2.3.2 Diebold and Mariano’s sign test
2.3.3 Diebold and Mariano’sWilcoxon sign-rank test
2.3.4 Serially correlated loss differentials
2.4 Regression-based forecast efficiency and orthogonality test
2.5 Other issues in forecast evaluation
3 Historical Volatility Models
3.1 Modelling issues
3.2 Types of historical volatility models
3.2.1 Single-state historical volatility models
3.2.2 Regime switching and transition exponential smoothing
3.3 Forecasting performance
4 Arch
4.1 Engle (1982)
4.2 Generalized ARCH
4.3 Integrated GARCH
4.4 Exponential GARCH
4.5 Other forms of nonlinearity
4.6 Forecasting performance
5 Linear and Nonlinear Long Memory Models
5.1 What is long memory in volatility?
5.2 Evidence and impact of volatility long memory
5.3 Fractionally integrated model
5.3.1 FIGARCH
5.3.2 FIEGARCH
5.3.3 The positive drift in fractional integrated series
5.3.4 Forecasting performance
5.4 Competing models for volatility long memory
5.4.1 Breaks
5.4.2 Components model
5.4.3 Regime-switching model
5.4.4 Forecasting performance
6 Stochastic Volatility
6.1 The volatility innovation
6.2 The MCMC approach
6.2.1 The volatility vector H
6.2.2 The parameter w
6.3 Forecasting performance
7 Multivariate Volatility Models
7.1 Asymmetric dynamic covariance model
7.2 A bivariate example
7.3 Applications
8 Black–Scholes
8.1 The Black–Scholes formula
8.1.1 The Black–Scholes assumptions
8.1.2 Black–Scholes implied volatility
8.1.3 Black–Scholes implied volatility smile
8.1.4 Explanations for the ‘smile’
8.2 Black–Scholes and no-arbitrage pricing
8.2.1 The stock price dynamics
8.2.2 The Black–Scholes partial differential equation
8.2.3 Solving the partial differential equation
8.3 Binomial method
8.3.1 Matching volatility with u and d
8.3.2 A two-step binomial tree and American-style options
8.4 Testing option pricing model in practice
8.5 Dividend and early exercise premium
8.5.1 Known and finite dividends
8.5.2 Dividend yield method
8.5.3 Barone-Adesi and Whaley quadratic approximation
8.6 Measurement errors and bias
8.6.1 Investor risk preference
8.7 Appendix: Implementing Barone-Adesi and Whaley’s efficient algorithm
9 Option Pricing with Stochastic Volatility
9.1 The Heston stochastic volatility option pricing model
9.2 Heston price and Black–Scholes implied
9.3 Model assessment
9.3.1 Zero correlation
9.3.2 Nonzero correlation
9.4 Volatility forecast using the Heston model
9.5 Appendix: The market price of volatility risk
9.5.1 Ito’s lemma for two stochastic variables
9.5.2 The case of stochastic volatility
9.5.3 Constructing the risk-free strategy
9.5.4 Correlated processes
9.5.5 The market price of risk
10 Option Forecasting Power
10.1 Using option implied standard deviation to forecast volatility
10.2 At-the-money or weighted implied?
10.3 Implied biasedness
10.4 Volatility risk premium
11 Volatility Forecasting Records
11.1 Which volatility forecasting model?
11.2 Getting the right conditional variance and forecast with the ‘wrong’ models
11.3 Predictability across different assets
11.3.1 Individual stocks
11.3.2 Stock market index
11.3.3 Exchange rate
11.3.4 Other assets
12 Volatility Models in Risk Management
12.1 Basel Committee and Basel Accords Ⅰ&Ⅱ
12.2 VaR and backtest
12.2.1 VaR
12.2.2 Backtest
12.2.3 The three-zone approach to backtest evaluation
12.3 Extreme value theory and VaR estimation
12.3.1 The model
12.3.2 10-day VaR
12.3.3 Multivariate analysis
12.4 Evaluation of VaR models
13 VIX and Recent Changes in VIX
13.1 New definition for VIX
13.2 What is the VXO?
13.3 Reason for the change
14 Where Next?
Appendix
References
Index
作者介绍：
Dr SER-HUANG POON was promoted to Professor of Finance at Manchester University in 2003. Prior to that, she was a senior lecturer at Strathclyde University.
Ser-Huang graduated from the National University of Singapore and obtained her masters and P
出版社信息：
暂无出版社相关信息，正在全力查找中！
书籍摘录：
暂无相关书籍摘录，正在全力查找中！
在线阅读/听书/购买/PDF下载地址：
在线阅读地址：A PRACTICAL GUIDE TO FORECASTING FINANCIAL MARKET VOLATILITY 金融市场挥发性预测实用指南在线阅读
在线听书地址：A PRACTICAL GUIDE TO FORECASTING FINANCIAL MARKET VOLATILITY 金融市场挥发性预测实用指南在线收听
在线购买地址：A PRACTICAL GUIDE TO FORECASTING FINANCIAL MARKET VOLATILITY 金融市场挥发性预测实用指南在线购买
原文赏析：
暂无原文赏析，正在全力查找中！
其它内容：
书籍介绍
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.
书籍真实打分
故事情节：7分
人物塑造：3分
主题深度：9分
文字风格：5分
语言运用：7分
文笔流畅：8分
思想传递：3分
知识深度：5分
知识广度：6分
实用性：6分
章节划分：5分
结构布局：5分
新颖与独特：9分
情感共鸣：5分
引人入胜：5分
现实相关：3分
沉浸感：4分
事实准确性：9分
文化贡献：7分
网站评分
书籍多样性：5分
书籍信息完全性：5分
网站更新速度：5分
使用便利性：4分
书籍清晰度：5分
书籍格式兼容性：4分
是否包含广告：3分
加载速度：5分
安全性：5分
稳定性：3分
搜索功能：8分
下载便捷性：7分
下载点评
- 三星好评(539+)
- 推荐购买(436+)
- 下载快(442+)
- 超值(409+)
- 无缺页(460+)
- 体验好(386+)
- 体验满分(185+)
- 愉快的找书体验(123+)
- 速度快(677+)
- 盗版少(203+)
下载评价
网友 冉***兮：如果满分一百分，我愿意给你99分，剩下一分怕你骄傲
网友 益***琴：好书都要花钱，如果要学习，建议买实体书；如果只是娱乐，看看这个网站，对你来说，是很好的选择。
网友 孙***夏：中评，比上不足比下有余
网友 曹***雯：为什么许多书都找不到？
网友 石***致：挺实用的，给个赞！希望越来越好，一直支持。
网友 宫***凡：一般般，只能说收费的比免费的强不少。
网友 后***之：强烈推荐！无论下载速度还是书籍内容都没话说 真的很良心！
网友 方***旋：真的很好，里面很多小说都能搜到，但就是收费的太多了
网友 訾***雰：下载速度很快，我选择的是epub格式
网友 冯***丽：卡的不行啊
网友 马***偲：好 很好 非常好 无比的好 史上最好的