Inside volatility filtering secrets of the skew
A new, more accurate take on the classical approach to volatility evaluation Inside Volatility Filtering presents a new approach to volatility estimation, using financial econometrics based on a more accurate estimation of the hidden state. Based on the idea of ""filtering"", th...
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Hoboken, New Jersey :
John Wiley & Sons
2015.
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| Edición: | 2nd ed |
| Colección: | Wiley finance series.
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009849098406719 |
| Sumario: | A new, more accurate take on the classical approach to volatility evaluation Inside Volatility Filtering presents a new approach to volatility estimation, using financial econometrics based on a more accurate estimation of the hidden state. Based on the idea of ""filtering"", this book lays out a two-step framework involving a Chapman-Kolmogorov prior distribution followed by Bayesian posterior distribution to develop a robust estimation based on all available information. This new second edition includes guidance toward basing estimations on historic option prices instead of stocks, as well |
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| Notas: | Earlier edition published as: Inside volatility arbitrage : the secrets of skewness. |
| Descripción Física: | 1 online resource (323 p.) |
| Bibliografía: | Includes bibliographical references and index. |
| ISBN: | 9781118943984 9781118949092 9781118943991 |
