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Books on the topic 'Implied volatilitie'

Author: Grafiati
Published: 9 March 2023
Last updated: 10 March 2023

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1

Hafner, Reinhold. Stochastic Implied Volatility. Berlin, Heidelberg: Springer Berlin Heidelberg, 2004. http://dx.doi.org/10.1007/978-3-642-17117-8.

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2

Kanas, Angelos. Forecasting exchange rate volatility: The significance of volatilities implied in currency options premiums. Birmingham: Aston Business School, 1992.

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3

Dumas, Bernard. Implied volatility functions: Empirical tests. Cambridge, MA: National Bureau of Economic Research, 1996.

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4

Dumas, Bernard. Implied volatility functions: Empirical tests. London: Centrefor Economic Policy Research, 1996.

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5

Bollerslev, Tim. Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities. Washington, D.C: Federal Reserve Board, 2004.

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6

Ahokas, R. T. Analysis of the term structure of implied volatilities. Manchester: UMIST, 1997.

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7

Hafner, Reinhold. Stochastic implied volatility: A factor-based model. Berlin: Springer, 2004.

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8

Le, Thi. Analysing Intraday Implied Volatility for Pricing Currency Options. Cham: Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-71242-6.

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9

Andersen, Torben G. Construction and interpretation of model-free implied volatility. Cambridge, Mass: National Bureau of Economic Research, 2007.

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10

Skiadopoulos, Georgios. Modelling the dynamics of implied volatility smiles and surfaces. [s.l.]: typescript, 1999.

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11

Ncube, Mthuli. Modelling implied volatility with OLS and panel data models. London: London School of Economics, Financial Markets Group, 1994.

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12

Cassese, Gianluca. Modelling the MIB30 implied volatility surface: Does efficiency matter? [St. Louis, Mo.]: Federal Reserve Bank of St. Louis, 2005.

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13

Donaldson, Glen. Volatility forecasts, trading volume, and the ARCH versus option-implied volatility trade-off. [Atlanta]: Federal Reserve Bank of Atlanta, 2004.

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14

Feinstein, Steven. The Hull and White implied volatility: A theoretical and empirical investigation of a volatility forecast implied by the Hull and White stochastic volatility option pricing model. Boston, MA: Boston University, School of Management, 1992.

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15

Acker, Daniella. Volatility implied by option prices: The case of takeover bids. Bristol: University of Bristol, Department of Economics, 1996.

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16

Wei, Shang-Jin. Are option-implied forecasts of exchange rate volatility excessively variable? Cambridge, MA: National Bureau of Economic Research, 1991.

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17

Neely, Christopher J. Forecasting foreign exchange volatility: Why is implied volatility biased and inefficient, and does it matter? [St. Louis, Mo.]: Federal Reserve Bank of St. Louis, 2002.

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18

Stivers, Christopher T. Stock implied volatility, stock turnover, and the stock-bond return relation. [Atlanta, Ga.]: Federal Reserve Bank of Atlanta, 2002.

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19

Gonçalves, Silva. Predictable dynamics in the S&P 500 index options implied volatility surface. [St. Louis, Mo.]: Federal Reserve Bank of St. Louis, 2005.

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20

Graham, John R. Market timing ability and volatility implied in investment newsletters' asset allocation recommendations. Cambridge, MA: National Bureau of Economic Research, 1994.

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21

Duque, João Luís Correia. The meaning of implied volatility in pricing stock options traded in options markets. Manchester: University of Manchester, 1994.

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22

Copeland, Laurence S. The implied volatility of option prices: A test using options on UK stocks. Stirling: University of Stirling, Dept. of Accountancy & Finance, 1995.

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23

Kuo, I.-Doun. Implied volatility functions for one-factor and two-factor Heath, Jarrow, and Morton models. Manchester: Manchester Business School, Phd, 2002.

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24

Neely, Christopher J. Implied volatility from options on gold futures: Do econometric forecasts add value or simply paint the lilly? [St. Louis, Mo.]: Federal Reserve Bank of St. Louis, 2003.

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25

Semiparametric Modeling of Implied Volatility. Berlin/Heidelberg: Springer-Verlag, 2005. http://dx.doi.org/10.1007/3-540-30591-2.

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26

Fengler, Matthias R. Semiparametric Modeling of Implied Volatility. Springer, 2008.

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27

Semiparametric Modeling of Implied Volatility. Springer, 2005.

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28

Semiparametric Modeling of Implied Volatility (Springer Finance). Springer Berlin Heidelberg, 2006.

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29

Back, Kerry E. Forwards, Futures, and More Option Pricing. Oxford University Press, 2017. http://dx.doi.org/10.1093/acprof:oso/9780190241148.003.0017.

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Forward measures are defined. Forward and futures contracts are explained. The spot‐forward parity formula is derived. A forward price is a martingale under the forward measure. A futures price is a martingale under a risk neutral probability. Forward prices equal futures prices when interest rates are nonrandom. The expectations hypothesis is explained. The option pricing formulas of Margabe (exchange options), Black (options on forwards), and Merton (random interest rates) are derived. Implied volatilities and local volatility models are explained. Heston’s stochastic volatility model is derived.
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30

Le, Thi. Analysing Intraday Implied Volatility for Pricing Currency Options. Springer International Publishing AG, 2021.

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31

Le, Thi. Analysing Intraday Implied Volatility for Pricing Currency Options. Springer International Publishing AG, 2022.

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32

Ploeg, Rick van der. Sustainable Management of Natural Resource Wealth. Oxford University Press, 2017. http://dx.doi.org/10.1093/oso/9780198803720.003.0019.

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The principles of how best to manage the various components of national wealth are outlined, where the permanent income hypothesis, the Hotelling rule, and the Hartwick rule play a prominent role. A case is made to use an intergenerational sovereign wealth fund to smooth consumption across generations, a liquidity fund for the precautionary buffers to deal with commodity price volatility, and an investment fund to park part of the windfall until the country is ready to absorb extra spending on domestic investment. Capital scarcity implies that a positive part of the windfall should be spent on domestic investment. The conclusions highlight the political economy problems that must be tackled when managing national wealth.
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33

Esposito, Elena. Predicted Uncertainty. Oxford University Press, 2018. http://dx.doi.org/10.1093/oso/9780198820802.003.0010.

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The chapter analyses the way in which structured finance manages and controls the openness of the future as a source of profit. Financial modelling relies on a specific form of fiction, based on the careful construction of a present image of the future and its uncertainty—expressed by the evaluation of implied volatility. The problem with this approach is that it fails to take account of the reflexive way in which the fictitious future it constructs affects the (not-yet-existing) future reality. This chapter highlights the dual nature of the future as intersection and combination of both the present future and the future present. It concludes that structured-financed models—despite their attempt to control risk by making calculations in the present about the future and about current market expectations of the future—may, in times of turbulence, increase the indeterminacy and unpredictability of future reality.
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