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Volatility as an asset class : obvious benefits and hidden risks

Jabłecki, Juliusz; Kokoszczyński, Ryszard; Sakowski, … - 2015 - 1. ed.

Introduction -- Volatility and its estimation -- Overview of volatility derivatives -- Options delta hedging with no … options at all -- Volatility derivatives in portfolio optimization -- Benefits of using volatility futures in investment … strategies -- Predictive properties of the volatility term structure -- Conclusions -- List of gures -- List of tables …

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Correlation surprise

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Sovereign credit ratings, market volatility, and financial gains

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Computational finance

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use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use …

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The geometric-VaR backtesting method

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Modeling, valuation and risk management of commodity derivates

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The signalling properties of the shape of the credit default swap term structure

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Wrong-way risk of interest rate instruments

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Is hedging the crack spread no longer all it's cracked up to be?

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