<--- Back to Details
First PageDocument Content
Economics / Volatility / Implied volatility / Modern portfolio theory / Rate of return / Volatility smile / Volatility arbitrage / Mathematical finance / Financial economics / Finance
Date: 2012-10-16 00:54:44
Economics
Volatility
Implied volatility
Modern portfolio theory
Rate of return
Volatility smile
Volatility arbitrage
Mathematical finance
Financial economics
Finance

This article was translated by the author and reprinted from the August 2011 issue of the Securities Analysts Journal® with the  permission of the Securities Analysts Association of Japan(SAAJ)

Add to Reading List

Source URL: www.saa.or.jp

Download Document from Source Website

File Size: 223,39 KB

Share Document on Facebook

Similar Documents

Economy / Mathematical finance / Finance / Money / Volatility / Robeco / Beta / Low-volatility anomaly / Draft:Pim van Vliet / Volatility smile

Microsoft Word - Low-volatility investing the good, the bad and the generic 2015

DocID: 1rpRi - View Document

Mathematical finance / Options / Economy / Applied mathematics / Finance / Volatility smile / Volatility / Implied volatility / Foreign exchange option / Moneyness / BlackScholes model / Financial economics

- 2012 #15 NBIM Discussion NOTE Modelling the implied tail risk of foreignexchange positions

DocID: 1rdM6 - View Document

Mathematical finance / Economy / Applied mathematics / Finance / Volatility / Stochastic volatility / OrnsteinUhlenbeck process / Benchmark / CoxIngersollRoss model / International Petroleum Exchange / Volatility smile / Implied volatility

A Hidden Markov Stochastic Volatility Model for Energy Prices Robert J. Elliott∗ Tao Lin† Hong Miao‡ To describe the complex behavior of energy prices, we propose a stochastic volatility model, where

DocID: 1raJ8 - View Document

Options / Mathematical finance / Applied mathematics / Economy / Finance / Volatility smile / Implied volatility / Foreign exchange option / Moneyness / BlackScholes model / Volatility / VIX

SPONSORED FEATURE FX volatility An evolutionary story Jessica James and Jonathan Fullwood of Commerzbank present an overview of volatility – from its origins, to the current era – taking

DocID: 1q5X8 - View Document

Mathematical finance / Options / Applied mathematics / Economy / Finance / Volatility smile / Damiano Brigo / Fabio Mercurio / Volatility / BlackScholes model / Implied volatility / Greeks

Fitting volatility skews and smiles with analytical stock-price models  Damiano Brigo Fabio Mercurio

DocID: 1pVgF - View Document