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Author : Shigenori Shiratsuka
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 (318 download)
Download or read book Information Content of Implied Probability Distributions written by Shigenori Shiratsuka and published by . This book was released on 2001 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Damien P.G. Lynch
Publisher :
ISBN 13 :
Total Pages : 61 pages
Book Rating : 4.:/5 (129 download)
Download or read book Summary Statistics of Implied Probability Density Functions and Their Properties written by Damien P.G. Lynch and published by . This book was released on 2002 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: The statistics that summarise the probability distributions implied from option prices can be used to assess market expectations about future uncertainty, asymmetry and the probability of extreme movements in asset prices. This paper considers implied pdfs with a constant horizon of three months for Samp;P 500, FTSE 100, eurodollar and short-sterling. A time series analysis of the summary statistics provides some stylised facts about the behaviour of different elements of market expectations, their historical distribution and the relationships between them. The distributions of these measures provide information on past revisions to market expectations including the relative likelihood of upward rather than downward revisions and the extent to which these revisions were large. The similarity and relative stability of alternative measures for each element of market expectations is assessed to select a subset of summary statistics that can sufficiently reflect the information contained in the implied pdfs. Relationships between implied pdf summary statistics and movements in underlying assets are considered. Cross asset and cross country comparisons between the summary statistics series are also useful in revealing relations and/or associations between market participants' expectations about equity price and interest rate movements. Finally the information content of the implied pdfs for future macroeconomic and financial variables is assessed.
Author : Damien P.G. Lynch
Publisher :
ISBN 13 :
Total Pages : 57 pages
Book Rating : 4.:/5 (129 download)
Download or read book Summary Statistics of Implied Probability Density Functions written by Damien P.G. Lynch and published by . This book was released on 2002 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: The statistics that summarise the probability distributions implied from option prices can be used to assess market expectations about future uncertainty, asymmetry and the probability of extreme movements in asset prices. This paper considers implied pdfs with a constant horizon of three months for Samp;P 500, FTSE 100, eurodollar and short-sterling. A time series analysis of the summary statistics provides some stylised facts about the behaviour of different elements of market expectations, their historical distribution and the relationships between them. The distributions of these measures provide information on past revisions to market expectations including the relative likelihood of upward rather than downward revisions and the extent to which these revisions were large. The similarity and relative stability of alternative measures for each element of market expectations is assessed to select a subset of summary statistics that can sufficiently reflect the information contained in the implied pdfs. Relationships between implied pdf summary statistics and movements in underlying assets are considered. Cross asset and cross country comparisons between the summary statistics series are also useful in revealing relations and/or associations between market participants' expectations about equity price and interest rate movements. Finally the information content of the implied pdfs for future macroeconomic and financial variables is assessed.
Author : Jens Carsten Jackwerth
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (95 download)
Download or read book Option-Implied Risk-Neutral Distributions and Risk Aversion written by Jens Carsten Jackwerth and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Erricos Kontoghiorghes
Publisher : Springer Science & Business Media
ISBN 13 : 3540779582
Total Pages : 425 pages
Book Rating : 4.5/5 (47 download)
Download or read book Computational Methods in Financial Engineering written by Erricos Kontoghiorghes and published by Springer Science & Business Media. This book was released on 2008-02-26 with total page 425 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computational models and methods are central to the analysis of economic and financial decisions. Simulation and optimisation are widely used as tools of analysis, modelling and testing. The focus of this book is the development of computational methods and analytical models in financial engineering that rely on computation. The book contains eighteen chapters written by leading researchers in the area on portfolio optimization and option pricing; estimation and classification; banking; risk and macroeconomic modelling. It explores and brings together current research tools and will be of interest to researchers, analysts and practitioners in policy and investment decisions in economics and finance.
Author : John L. Knight
Publisher : Butterworth-Heinemann
ISBN 13 : 9780750655156
Total Pages : 428 pages
Book Rating : 4.6/5 (551 download)
Download or read book Forecasting Volatility in the Financial Markets written by John L. Knight and published by Butterworth-Heinemann. This book was released on 2002 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text 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 modeling 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.
Author : Jordan B. Zimbelman
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
Download or read book The Tails of Option-Implied Probability Distributions written by Jordan B. Zimbelman and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stephen Satchell
Publisher : Elsevier
ISBN 13 : 0080471420
Total Pages : 428 pages
Book Rating : 4.0/5 (84 download)
Download or read book Forecasting Volatility in the Financial Markets written by Stephen Satchell and published by Elsevier. This book was released on 2011-02-24 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting Volatility in the Financial Markets, Third Edition 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
Author : Graham Elliott
Publisher : Newnes
ISBN 13 : 0444536841
Total Pages : 719 pages
Book Rating : 4.4/5 (445 download)
Download or read book Handbook of Economic Forecasting written by Graham Elliott and published by Newnes. This book was released on 2013-08-23 with total page 719 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 : Alexandra Dias
Publisher : Routledge
ISBN 13 : 1317976916
Total Pages : 206 pages
Book Rating : 4.3/5 (179 download)
Download or read book Copulae and Multivariate Probability Distributions in Finance written by Alexandra Dias and published by Routledge. This book was released on 2013-08-21 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio theory and much of asset pricing, as well as many empirical applications, depend on the use of multivariate probability distributions to describe asset returns. Traditionally, this has meant the multivariate normal (or Gaussian) distribution. More recently, theoretical and empirical work in financial economics has employed the multivariate Student (and other) distributions which are members of the elliptically symmetric class. There is also a growing body of work which is based on skew-elliptical distributions. These probability models all exhibit the property that the marginal distributions differ only by location and scale parameters or are restrictive in other respects. Very often, such models are not supported by the empirical evidence that the marginal distributions of asset returns can differ markedly. Copula theory is a branch of statistics which provides powerful methods to overcome these shortcomings. This book provides a synthesis of the latest research in the area of copulae as applied to finance and related subjects such as insurance. Multivariate non-Gaussian dependence is a fact of life for many problems in financial econometrics. This book describes the state of the art in tools required to deal with these observed features of financial data. This book was originally published as a special issue of the European Journal of Finance.
Author : Robert R. Bliss
Publisher :
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.3/5 ( download)
Download or read book Testing the Stability of Implied Probability Density Functions written by Robert R. Bliss and published by . This book was released on 2000 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : C L Dunford
Publisher : World Scientific
ISBN 13 : 981455345X
Total Pages : 756 pages
Book Rating : 4.8/5 (145 download)
Download or read book Nuclear Data Evaluation Methodology - Proceedings Of The International Symposium written by C L Dunford and published by World Scientific. This book was released on 1993-08-12 with total page 756 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Symposium on Nuclear Data Evaluation Methodology provided a forum for the discussion of developments made over the past 12 years in the evaluation methods used for generating data files for applied technology. With a program that was prepared by an international committee of experts in this field, this set of proceedings gives a comprehensive overview of the development and progress of this field for the last 12 years. It serves as an important source of reference and historical update for those seeking an in-depth understanding of this study.
Author : Damien Lynch
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (778 download)
Download or read book Summary Statistics of Option-implied Probability Density Functions and Their Properties written by Damien Lynch and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Daniel Giamouridis
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (595 download)
Download or read book Implied Probability Distributions written by Daniel Giamouridis and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jens Carsten Jackwerth
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (342 download)
Download or read book Implied Probability Distributions written by Jens Carsten Jackwerth and published by . This book was released on 1995 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 138 pages
Book Rating : 4.:/5 (321 download)
Download or read book Bank of Japan Monetary and Economic Studies written by and published by . This book was released on 2006 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mark Rubinstein
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Implied Probability Distributions written by Mark Rubinstein and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: An earlier article, quot;Implied Binomial Trees,quot; introduced a theoretical model for implying the stochastic process of an underlying asset price from the prices of associated options. This sequel provides details concerning application of the model to the full record of Samp;P 500 index options transactions from April 2, 1986 through December 31, 1993. Most prominently, it introduces a revised optimization technique for estimating expiration-date risk-neutral probability distributions which is probably theoretically superior and definitely orders of magnitude faster than the approaches outlined in the antecedent paper. This method maximizes the smoothness of the distribution while at the same time insuring that multimodalities are not unrealistically strong. With the exception of the lower left-hand tail of the distribution, alternative optimization specifications typically produce approximately the same implied distributions. Considerable care is taken to specify such parameters as interest rates, dividends, and synchronous index levels, as well as to filter for general arbitrage violations resulting implied probability distributions exhibit changes in skewness as time-to-expiration approaches which are consistent and to use time aggregation to correct for unrealistic persistent jaggedness of implied volatility smiles. The with theoretical predictions. While time patterns of skewness and kurtosis exhibit a discontinuity across the divide of the 1987 market crash, they remain remarkably stable on either side of the divide. Moreover, since the crash, the risk-neutral probability of a four standard deviation decline in the Samp;P index (-46% over a year) is 100 times more likely than would appear to be the case under the assumption of lognormality.
