Inside Volatility Filtering

Name: Inside Volatility Filtering
Brand: John Wiley & Sons Inc
SKU: 9781118943977
Price: 102.4 EUR
Availability: InStock

Secrets of the Skew

Автор: Alireza Javaheri

Език:

Корици: С твърди корици

Издател: John Wiley & Sons Inc

Наличност: Външен склад

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102.40 € 200.27 лв

Author and financial expert Alireza Javaheri uses the classic approach to evaluating volatility--tim...

Информация за книгата

Автор

Alireza Javaheri

Език

Английски език

Корици

Книга - С твърди корици

Издадена

2015

страници

320

EAN

9781118943977

ISBN

9781118943977

Enbook ID

03025782

Издател

John Wiley & Sons Inc

Теглоt

518

Размери

172 x 164 x 30

Пълно описание

Author and financial expert Alireza Javaheri uses the classic approach to evaluating volatility--time series and financial econometrics--in a way that he believes is superior to methods presently used by market participants. He also suggests that there may be "skewness" trading opportunities that can be sued to trade the markets mroe profitably. Filed with in-depth insight and expert advice, this book will focus on the idea of filtering.§The idea behind filtering is to obtain the best possible estimation of a hidden state given all the available information up to that point. This estimation is done in an iterative manner in two stages: The first step is a time update in which the prior distribution from all the past information via a Chapman-Kolmogorov equation. The second step would then involve a measurement update where this prior distribution is used together with the conditional likelihood of the newest observation in order to compute the posterior distribution of the hidden state. The Bayes rule is used for this purpose. Once the posterior distribution is determined, it can be exploited for the optimal estimation of the hidden state.§For practitioners and students, the author is adding content on:§estimation from historic option prices instead of stocks, as the observation quality is better§spectral approaches and in particular Wiener Chaos Expansions§on the statistical trading strategy in section 3

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Inside Volatility Filtering

Secrets of the Skew

Информация за книгата

Пълно описание

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