Suchergebnisse
Filter
Format
Medientyp
Sprache
Weitere Sprachen
Jahre
14800 Ergebnisse
Sortierung:
SSRN
SSRN
Working paper
From volatility smiles to the volatility of volatility
In: Decisions in economics and finance: a journal of applied mathematics, Band 42, Heft 2, S. 387-406
ISSN: 1129-6569, 2385-2658
Volatility forecasting for low-volatility investing
SSRN
Volatility-of-Volatility Risk in Asset Pricing
In: Review of Asset Pricing Studies, Forthcoming
SSRN
Working paper
Volatility Timing under Low-Volatility Strategy
In: Journal of Portfolio Management, Band 48, Heft 1, S. 2021
SSRN
Working paper
Forecasting Stock Market Volatility with Realized Volatility, Volatility Components and Jump Dynamics
In: FRL-D-23-02556
SSRN
Board Structure and the Volatility of Volatility
SSRN
Working paper
VOLATILITY IN CLASSIFICATION
The goal of the presented work consists in the construction of the new three-levels scheme of authomatical classification. This scheme is based on the newly introduced notion of volatility of separate clusters as well as of whole classification. The property is exactly defined and efficiently calculated. It describes the stability, exactness, validity of subsets of the given initial set in essence, their possibility (or impossibility) to be selected as clusters. The suggested algorithm finds the clusters with arbitrary levels of volatility, including the conventional case of zero volatility. The clusters in USA, Russia and Sweden stock market (for crisis period of 2008-2010) and deputies clusters based on voting results in the 3rd State Duma between September 2001 and January 2002 (the period including the creation of the party "United Russia" 01.12.2001) were constructed by the suggested algorithm. Analyzing clusters constructed basing on the voting results for every of the considered months, it has turned out that the clustering volatility was equal to zero in September and October, drastically increased in November and slightly decreased in December and January. But several indices (i.e. concordance of parties' positions) did not show sensible jumps near this political "bifurcation point". The other considered various model examples demonstrated the results well-coordinated with geometrical intuition.
BASE
Volatility of Volatility and Tail Risk Premiums
In: FEDS Working Paper No. 2013-54
SSRN
Working paper
Forecasting volatility with time-varying leverage and volatility of volatility effects
In: International journal of forecasting, Band 36, Heft 4, S. 1301-1317
ISSN: 0169-2070
SSRN
Working paper
Volatility trading
In: Wiley trading series
Popular guide to options pricing and position sizing for quant traders. In this second edition of this bestselling book, Sinclair offers a quantitative model for measuring volatility in order to gain an edge in everyday option trading endeavors. With an accessible, straightforward approach, he guides traders through the basics of option pricing, volatility measurement, hedging, money management, and trade evaluation. This new edition includes new chapters on the dynamics of realized and implied volatilities, trading the variance premium and using options to trade special situations in equity markets. * Filled with volatility models including brand new option trades for quant traders * Options trader Euan Sinclair specializes in the design and implementation of quantitative trading strategies. Volatility Trading, Second Edition + Website outlines strategies for defining a true edge in the market using options to trade volatility profitably.
SSRN
SSRN