Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Are Standard Deviations Implied In Currency Option Prices Good Predictors Of Future Exchange Rate Volatility
Download Are Standard Deviations Implied In Currency Option Prices Good Predictors Of Future Exchange Rate Volatility full books in PDF, epub, and Kindle. Read online Are Standard Deviations Implied In Currency Option Prices Good Predictors Of Future Exchange Rate Volatility ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis Are Standard Deviations Implied in Currency Option Prices Good Predictors of Future Exchange Rate Volatility? by : Mariusz Tamborski
Download or read book Are Standard Deviations Implied in Currency Option Prices Good Predictors of Future Exchange Rate Volatility? written by Mariusz Tamborski and published by . This book was released on 1994 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Currency Options And Exchange Rate Economics by : Zhaohui Chen
Download or read book Currency Options And Exchange Rate Economics written by Zhaohui Chen and published by World Scientific. This book was released on 1998-04-21 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is a collection of classical and recent empirical studies of currency options and their implications for issues of exchange rate economics, such as exchange rate risk premium, volatility, market expectations, and credibility of exchange rate regimes. It contains applications on how to extract useful information from option market data for financial forecasting policy purposes. The subjects are discussed in a self-contained, user-friendly format, with introductory chapters on currency option theory and currency option markets.The book can be used as supplementary reading for graduate finance and international economics courses, as training material for central bank and regulatory authorities, or as a reference book for financial analysts.
Book Synopsis Are Option-implied Forecasts of Exchange Rate Volatility Excessively Variable? by : Shang-Jin Wei
Download or read book Are Option-implied Forecasts of Exchange Rate Volatility Excessively Variable? written by Shang-Jin Wei and published by . This book was released on 1991 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: Market participants' forecasts of future exchange rate volatility can be recovered from option contracts on foreign currencies. Such implicit volatility forecasts for four currencies are used to test rational expectations jointly with the applicability of the standard Black-Scholes formula. First, we examine the null hypothesis that the market-anticipated one-month-ahead standard deviation is an unbiased estimator of the subsequent realized standard deviation. The parametric regression method rejects this hypothesis overwhelmingly: the implicit forecasts are themselves excessively variable. Simulations indicate that the rejection is not caused by non-normality of the error term. Second, we use a nonparametric method to test a weaker version of market rationality: the market can correctly forecast the direction of the change in exchange rate volatility. This time, the weaker version of rationality is confirmed- Third, we investigate how market forecasts are formed. We find some evidence that market participants put heavy weight on lagged volatility when forecasting future volatility. Finally, results from the Alternating Conditional Expectations algorithm provide further support for the central finding that when the market predicts a large deviation of volatility from its mean, it could do better by moderating its forecast.
Book Synopsis Predicting Volatility in the Foreign Exchange Market by : Philippe Jorion
Download or read book Predicting Volatility in the Foreign Exchange Market written by Philippe Jorion and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Measures of volatility implied in option prices are widely believed to be the best available volatility forecasts. In this paper, we examine the information content and predictive power of Implied Standard Deviations (ISD's) derived from CME options on foreign currency futures. The paper finds that statistical time- series models, even when given the advantage of quot;ex postquot; parameter estimates, are outperformed by ISD's. ISD's, however, also appear to be biased volatility forecasts. Using simulations to investigate the robustness of these results, the paper finds that measurement errors and statistical problems can substantially distort inferences. Even accounting for these, however, ISD's appear to be too variable relative to future volatility.
Book Synopsis The Information Content of Prices in Derivative Security Markets by : Louis O. Scott
Download or read book The Information Content of Prices in Derivative Security Markets written by Louis O. Scott and published by International Monetary Fund. This book was released on 1991-12 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: Prices in futures markets and option markets reflect expectations about future price movements in spot markets, but these prices can also be influenced by risk premia. Futures and forward prices are sometimes interpreted as market expectations for future spot prices, and option prices are used to calculate the market’s expectations for future volatility of spot prices. Do these prices accurately reflect market expectations? The purpose of this paper is to examine the information that is reflected in futures prices and option prices. The issue is examined by reviewing both the relevant analytical models and the empirical evidence.
Book Synopsis The Quality of Volatility Traded on the Over-the-Counter Currency Market by : Vicentiu Covrig
Download or read book The Quality of Volatility Traded on the Over-the-Counter Currency Market written by Vicentiu Covrig and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Previous studies of the quality of market forecasted future volatility in currency options use implied volatilities from exchange-traded currency options markets, and find that though implied volatility has substantial informational content, it is a biased predictor of future volatility. However, such empirical results are likely to be affected by two sources of well-documented errors: measurement errors in model inputs and errors in the option pricing model that is used for computation.This paper focuses on the former source of errors, and differs from previous studies in that it uses quoted implied volatility data from the OTC currency option market. The institutional features of the OTC market alleviate the measurement problems that are found in studies which use implied volatility that is derived from exchange-traded option prices. Unlike exchange traded currency option markets, in which market players quote option prices in terms of option premiums, in the OTC currency option market the price quotes are actually made in terms of volatility, which is expressed as a percentage per annum. Furthermore, the OTC currency options have daily quotes for standard maturities, allowing us to study the market's ability to forecast future volatility for different time horizons.The evidence shows that quoted implied volatility is an unbiased estimator of future volatility at the one-month horizon, but its predictive power decreases with longer horizons. The results are consistent with the Figlewski (1997) hypothesis that the informational content of quoted implied volatility is positively related to liquidity. The results also indicate that the quoted implied volatility has more predictive power than the historical standard deviation, RiskMetrics, and GARCH-based volatility forecasts across all of the currency pairs and forecasting horizons.These results are consistent with the argument that measurement errors have a substantial effect on the implied volatility estimator and the quality of the inferences that are based on it.
Book Synopsis Handbook of Economic Forecasting by : Graham Elliott
Download or read book Handbook of Economic Forecasting written by Graham Elliott and published by Elsevier. This book was released on 2013-08-23 with total page 667 pages. Available in PDF, EPUB and Kindle. Book excerpt: The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. Focuses on innovation in economic forecasting via industry applications Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications Makes details about economic forecasting accessible to scholars in fields outside economics
Author :Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico Publisher : ISBN 13 :9789291319626 Total Pages :0 pages Book Rating :4.3/5 (196 download)
Book Synopsis Market Volatility and Foreign Exchange Intervention in EMEs by : Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico
Download or read book Market Volatility and Foreign Exchange Intervention in EMEs written by Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Options Markets written by John C. Cox and published by Prentice Hall. This book was released on 1985 with total page 518 pages. Available in PDF, EPUB and Kindle. Book excerpt: Includes the first published detailed description of option exchange operations, the first published treatment using only elementary mathematics and the first step-by-step procedure for implementing the Black-Scholes formula in actual trading.
Author :International Monetary Fund Publisher :International Monetary Fund ISBN 13 :1498330282 Total Pages :132 pages Book Rating :4.4/5 (983 download)
Book Synopsis Exchange Rate Volatility and Trade Flows--Some New Evidence by : International Monetary Fund
Download or read book Exchange Rate Volatility and Trade Flows--Some New Evidence written by International Monetary Fund and published by International Monetary Fund. This book was released on 2004-05-19 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: NULL
Book Synopsis Asset Price Dynamics, Volatility, and Prediction by : Stephen J. Taylor
Download or read book Asset Price Dynamics, Volatility, and Prediction written by Stephen J. Taylor and published by Princeton University Press. This book was released on 2011-02-11 with total page 544 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility, and their probability distributions. Stephen Taylor provides a comprehensive introduction to the dynamic behavior of asset prices, relying on finance theory and statistical evidence. He uses stochastic processes to define mathematical models for price dynamics, but with less mathematics than in alternative texts. The key topics covered include random walk tests, trading rules, ARCH models, stochastic volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions. Asset Price Dynamics, Volatility, and Prediction is ideal for students of economics, finance, and mathematics who are studying financial econometrics, and will enable researchers to identify and apply appropriate models and methods. It will likewise be a valuable resource for quantitative analysts, fund managers, risk managers, and investors who seek realistic expectations about future asset prices and the risks to which they are exposed.
Book Synopsis The Microstructure of Foreign Exchange Markets by : Jeffrey A. Frankel
Download or read book The Microstructure of Foreign Exchange Markets written by Jeffrey A. Frankel and published by University of Chicago Press. This book was released on 2009-05-15 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: The foreign exchange market is the largest, fastest-growing financial market in the world. Yet conventional macroeconomic approaches do not explain why people trade foreign exchange. At the same time, they fail to explain the short-run determinants of the exchange rate. These nine innovative essays use a microstructure approach to analyze the workings of the foreign exchange market, with special emphasis on institutional aspects and the actual behavior of market participants. They examine the volume of transactions, heterogeneity of traders, the time of day and location of trading, the bid-ask spread, and the high level of exchange rate volatility that has puzzled many observers. They also consider the structure of the market, including such issues as nontransparency, asymmetric information, liquidity trading, the use of automated brokers, the relationship between spot and derivative markets, and the importance of systemic risk in the market. This timely volume will be essential reading for anyone interested in the economics of international finance.
Book Synopsis Volatility and Correlation by : Riccardo Rebonato
Download or read book Volatility and Correlation written by Riccardo Rebonato and published by John Wiley & Sons. This book was released on 2005-07-08 with total page 864 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation – with over 80% new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the ‘perfect-replication’ approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity/FX options. The book is split into four parts. Part I deals with a Black world without smiles, sets out the author’s ‘philosophical’ approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. It begins with a review of relevant empirical information about smiles, and provides coverage of local-stochastic-volatility, general-stochastic-volatility, jump-diffusion and Variance-Gamma processes. Part II concludes with an important chapter that discusses if and to what extent one can dispense with an explicit specification of a model, and can directly prescribe the dynamics of the smile surface. Part III focusses on interest rates when the volatility is deterministic. Part IV extends this setting in order to account for smiles in a financially motivated and computationally tractable manner. In this final part the author deals with CEV processes, with diffusive stochastic volatility and with Markov-chain processes. Praise for the First Edition: “In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging.... The book is a must-read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed.” —Professor Ian Cooper, London Business School “Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion...A rare combination of intellectual insight and practical common sense.” —Anthony Neuberger, London Business School
Download or read book S. Ganesan, Justin Paul written by and published by Allied Publishers. This book was released on with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Global Derivative Debacles: From Theory To Malpractice (Second Edition) by : Laurent L Jacque
Download or read book Global Derivative Debacles: From Theory To Malpractice (Second Edition) written by Laurent L Jacque and published by World Scientific. This book was released on 2015-05-28 with total page 367 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book analyzes in depth all major derivatives debacles of the last half century including the multi-billion losses and/or bankruptcy of Metallgesellschaft (1994), Barings Bank (1995), Long Term Capital Management (1998), Amaranth (2006), Société Générale (2008) , AIG (2008) and JP Morgan-Chase (2012). It unlocks the secrets of derivatives by telling the stories of institutions which played in the derivative market and lost big. For some of these unfortunate organizations it was daring but flawed financial engineering which brought them havoc. For others it was unbridled speculation perpetrated by rogue traders whose unchecked fraud brought their house down.Should derivatives be feared 'as financial weapons of mass destruction' or hailed as financial innovations which through efficient risk transfer are truly adding to the Wealth of Nations? By presenting a factual analysis of how the malpractice of derivatives played havoc with derivative end-user and dealer institutions, a case is made for vigilance not only to market and counter-party risk but also operational risk in their use for risk management and proprietary trading. Clear and recurring lessons across the different stories in this volume call not only for a tighter but also 'smarter' control system of derivatives trading and should be of immediate interest to financial managers, bankers, traders, auditors and regulators who are directly or indirectly exposed to financial derivatives.The book groups cases by derivative category, starting with the simplest and building up to the most complex — namely, Forwards, Futures, Options and Swaps in that order, with applications in commodities, foreign exchange, stock indices and interest rates. Each chapter deals with one derivative debacle, providing a rigorous and comprehensive but non-technical elucidation of what happened.What is new in the second edition? A new chapter on JP Morgan-Chase's London Whale, an in-depth discussion of credit-default swaps, and an update of the revamped regulatory framework with Basel 2.5 and Basel III against the backdrop of the Euro crisis, along with a revised and expanded discussion of the AIG debacle.
Book Synopsis Analysing Intraday Implied Volatility for Pricing Currency Options by : Thi Le
Download or read book Analysing Intraday Implied Volatility for Pricing Currency Options written by Thi Le and published by Springer Nature. This book was released on 2021-04-13 with total page 350 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on the impact of high-frequency data in forecasting market volatility and options price. New technologies have created opportunities to obtain better, faster, and more efficient datasets to explore financial market phenomena at the most acceptable data levels. It provides reliable intraday data supporting financial investment decisions across different assets classes and instruments consisting of commodities, derivatives, equities, fixed income and foreign exchange. This book emphasises four key areas, (1) estimating intraday implied volatility using ultra-high frequency (5-minutes frequency) currency options to capture traders' trading behaviour, (2) computing realised volatility based on 5-minute frequency currency price to obtain speculators' speculation attitude, (3) examining the ability of implied volatility to subsume market information through forecasting realised volatility and (4) evaluating the predictive power of implied volatility for pricing currency options. This is a must-read for academics and professionals who want to improve their skills and outcomes in trading options.
Book Synopsis Handbook of Neural Computation by : Emile Fiesler
Download or read book Handbook of Neural Computation written by Emile Fiesler and published by CRC Press. This book was released on 1997-01-01 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years, neural computation has developed from a specialized research discipline into a broadly based and dynamic activity with applications in an astonishing variety of fields. Many scientists, engineers and other practitioners are now using neural networks to tackle problems that are either intractable or unrealistically time consuming to solve through traditional computational strategies. The inaugural volume in the Computational Intelligence Library provides speedy dissemination of new ideas to a broad spectrum of neural network users, designers and implementers. Devoted to network fundamentals, models, algorithms and applications, the work is intended to become the standard reference resource for the neural network community. As the field expands and develops, leading researchers will report on an analyze promising new approaches. In this way, the Handbook will become an evolving compendium on the state of the art of neural computation. Available in loose-leaf print form as well as in an electronic edition that combines both CD-ROM and on-line (World Wide Web) access to its contents, the Handbook of Neural Computation is available on a subscription basis, with regularly published supplements keeping readers abreast of late-breaking developments and new advances in this rapidly developing field.
