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114件中 1件 - 30件
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| 商品 | 説明 | 価格 |
|---|---|---|
 Excess Volatility in the Term Structure of Interest Rates, in Share Prices and in Eurozone Derivatives【電子書籍】[ Amia Santini ] 楽天Kobo電子書籍ストア | ＜p＞The phenomenon of excess volatility in the context of share prices and of the term structure of interest rates has been documented by the existing literature, highlighting the limitations of traditional models of rational expectations and of reliance on the efficient market hypothesis. The data violates the bounds on volatility that are derived from them. Amia Santini studies the possible shortcomings of the methodologies used to uncover those inconsistencies, and the potential explanations of the observed phenomenon that can be considered in line with the rational expectation framework. She focuses on a relatively newer field of study: derivative instruments. Previous results of excess volatility, recovered with a worldwide focus, are presented and an empirical analysis is performed to assess whether a similar outcome would be obtained in the Eurozone market. The exploration of financial information that falls underneath the risk-neutral measure, such as derivative prices, reduces theimportance of time-varying discount rates as a potential explanation of excess volatility. In fact, the martingale measure already incorporates all potential variation in risk premia, which is the main driver of changes in discount rates. This opens the door to different and innovative prospects, and specific attention is paid to a new model for investor behaviour, that of natural expectations.＜/p＞画面が切り替わりますので、しばらくお待ち下さい。 ※ご購入は、楽天kobo商品ページからお願いします。※切り替わらない場合は、こちら をクリックして下さい。 ※このページからは注文できません。 | 10,331円 |
 Trading Options Greeks How Time, Volatility, and Other Pricing Factors Drive Profits【電子書籍】[ Dan Passarelli ] 楽天Kobo電子書籍ストア | ＜p＞＜strong＞A top options trader details a practical approach for pricing and trading options in any market condition＜/strong＞＜/p＞ ＜p＞The options market is always changing, and in order to keep up with it you need the greeksーdelta, gamma, theta, vega, and rhoーwhich are the best techniques for valuing options and executing trades regardless of market conditions. In the ＜em＞Second Edition＜/em＞ of ＜em＞Trading Options Greeks＜/em＞, veteran options trader Dan Pasarelli puts these tools in perspective by offering fresh insights on option trading and valuation.＜/p＞ ＜p＞An essential guide for both professional and aspiring traders, this book explains the greeks in a straightforward and accessible style. It skillfully shows how they can be used to facilitate trading strategies that seek to profit from volatility, time decay, or changes in interest rates. Along the way, it makes use of new charts and examples, and discusses how the proper application of the greeks can lead to more accurate pricing and trading as well as alert you to a range of other opportunities.＜/p＞ ＜ul＞ ＜li＞Completely updated with new material＜/li＞ ＜li＞Information on spreads, put-call parity and synthetic options, trading volatility, and advanced option trading is also included＜/li＞ ＜li＞Explores how to exploit the dynamics of option pricing to improve your trading＜/li＞ ＜/ul＞ ＜p＞Having a comprehensive understanding of the greeks is essential to long-term options trading success. ＜em＞Trading Options Greeks, Second Edition＜/em＞ shows you how to use the greeks to find better trades, effectively manage them, and ultimately, become more profitable.＜/p＞画面が切り替わりますので、しばらくお待ち下さい。 ※ご購入は、楽天kobo商品ページからお願いします。※切り替わらない場合は、こちら をクリックして下さい。 ※このページからは注文できません。 | 8,236円 |
 Listed Volatility and Variance Derivatives A Python-based Guide【電子書籍】[ Yves Hilpisch ] 楽天Kobo電子書籍ストア | ＜p＞＜strong＞Leverage Python for expert-level volatility and variance derivative trading＜/strong＞＜/p＞ ＜p＞＜em＞Listed Volatility and Variance Derivatives＜/em＞ is a comprehensive treatment of all aspects of these increasingly popular derivatives products, and has the distinction of being both the first to cover European volatility and variance products provided by Eurex and the first to offer Python code for implementing comprehensive quantitative analyses of these financial products. For those who want to get started right away, the book is accompanied by a dedicated Web page and a Github repository that includes all the code from the book for easy replication and use, as well as a hosted version of all the code for immediate execution.＜/p＞ ＜p＞Python is fast making inroads into financial modelling and derivatives analytics, and recent developments allow Python to be as fast as pure C++ or C while consisting generally of only 10% of the code lines associated with the compiled languages. This complete guide offers rare insight into the use of Python to undertake complex quantitative analyses of listed volatility and variance derivatives.＜/p＞ ＜ul＞ ＜li＞Learn how to use Python for data and financial analysis, and reproduce stylised facts on volatility and variance markets＜/li＞ ＜li＞Gain an understanding of the fundamental techniques of modelling volatility and variance and the model-free replication of variance＜/li＞ ＜li＞Familiarise yourself with micro structure elements of the markets for listed volatility and variance derivatives＜/li＞ ＜li＞Reproduce all results and graphics with IPython/Jupyter Notebooks and Python codes that accompany the book＜/li＞ ＜/ul＞ ＜p＞＜em＞Listed Volatility and Variance Derivatives＜/em＞ is the complete guide to Python-based quantitative analysis of these Eurex derivatives products.＜/p＞画面が切り替わりますので、しばらくお待ち下さい。 ※ご購入は、楽天kobo商品ページからお願いします。※切り替わらない場合は、こちら をクリックして下さい。 ※このページからは注文できません。 | 12,353円 |
 Volatility Practical Options Theory【電子書籍】[ Adam S. Iqbal ] 楽天Kobo電子書籍ストア | ＜p＞＜strong＞Gain a deep, intuitive and technical understanding of practical options theory＜/strong＞＜/p＞ ＜p＞The main challenges in successful options trading are conceptual, not mathematical. ＜em＞Volatility: Practical Options Theory＜/em＞ provides financial professionals, academics, students and others with an intuitive as well as technical understanding of both the basic and advanced ideas in options theory to a level that facilitates practical options trading. The approach taken in this book will prove particularly valuable to options traders and other practitioners tasked with making pricing and risk management decisions in an environment where time constraints mean that simplicity and intuition are of greater value than mathematical formalism.＜/p＞ ＜p＞The most important areas of options theory, namely implied volatility, delta hedging, time value and the so-called options greeks are explored based on intuitive economic arguments alone before turning to formal models such as the seminal Black-Scholes-Merton model. The reader will understand how the model free approach and mathematical models are related to each other, their underlying theoretical assumptions and their implications to level that facilitates practical implementation.＜/p＞ ＜p＞There are several excellent mathematical descriptions of options theory, but few focus on a translational approach to convert the theory into practice. This book emphasizes the translational aspect, while first building an intuitive, technical understanding that allows market makers, portfolio managers, investment managers, risk managers, and other traders to work more effectively withinーand beyondーthe bounds of everyday practice.＜/p＞ ＜ul＞ ＜li＞Gain a deeper understanding of the assumptions underlying options theory＜/li＞ ＜li＞Translate theoretical ideas into practice＜/li＞ ＜li＞Develop a more accurate intuition for better time-constrained decision making＜/li＞ ＜/ul＞ ＜p＞This book allows its readers to gain more than a superficial understanding of the mechanisms at work in options markets. ＜em＞Volatility＜/em＞ gives its readers the edge by providing a true bedrock foundation upon which practical knowledge becomes stronger.＜/p＞画面が切り替わりますので、しばらくお待ち下さい。 ※ご購入は、楽天kobo商品ページからお願いします。※切り替わらない場合は、こちら をクリックして下さい。 ※このページからは注文できません。 | 7,059円 |
 The Price of Fixed Income Market Volatility【電子書籍】[ Antonio Mele ] 楽天Kobo電子書籍ストア | ＜p＞Fixed income volatility and equity volatility evolve heterogeneously over time, co-moving disproportionately during periods of global imbalances and each reacting to events of different nature. While the methodology for options-based "model-free" pricing of equity volatility has been known for some time, little is known about analogous methodologies for pricing various fixed income volatilities.＜/p＞ ＜p＞This book fills this gap and provides a unified evaluation framework of fixed income volatility while dealing with disparate markets such as interest-rate swaps, government bonds, time-deposits and credit. It develops model-free, forward looking indexes of fixed-income volatility that match different quoting conventions across various markets, and uncovers subtle yet important pitfalls arising from na?ve superimpositions of the standard equity volatility methodology when pricing various fixed income volatilities.＜/p＞画面が切り替わりますので、しばらくお待ち下さい。 ※ご購入は、楽天kobo商品ページからお願いします。※切り替わらない場合は、こちら をクリックして下さい。 ※このページからは注文できません。 | 5,712円 |
 The Volatility Smile【電子書籍】[ Emanuel Derman ] 楽天Kobo電子書籍ストア | ＜p＞＜strong＞The Volatility Smile＜/strong＞＜/p＞ ＜p＞The Black-Scholes-Merton option model was the greatest innovation of 20th century finance, and remains the most widely applied theory in all of finance. Despite this success, the model is fundamentally at odds with the observed behavior of option markets: a graph of implied volatilities against strike will typically display a curve or skew, which practitioners refer to as the smile, and which the model cannot explain. Option valuation is not a solved problem, and the past forty years have witnessed an abundance of new models that try to reconcile theory with markets.＜/p＞ ＜p＞＜em＞The Volatility Smile＜/em＞ presents a unified treatment of the Black-Scholes-Merton model and the more advanced models that have replaced it. It is also a book about the principles of financial valuation and how to apply them. Celebrated author and quant Emanuel Derman and Michael B. Miller explain not just the mathematics but the ideas behind the models. By examining the foundations, the implementation, and the pros and cons of various models, and by carefully exploring their derivations and their assumptions, readers will learn not only how to handle the volatility smile but how to evaluate and build their own financial models.＜/p＞ ＜p＞Topics covered include:＜/p＞ ＜ul＞ ＜li＞The principles of valuation＜/li＞ ＜li＞Static and dynamic replication＜/li＞ ＜li＞The Black-Scholes-Merton model＜/li＞ ＜li＞Hedging strategies＜/li＞ ＜li＞Transaction costs＜/li＞ ＜li＞The behavior of the volatility smile＜/li＞ ＜li＞Implied distributions＜/li＞ ＜li＞Local volatility models＜/li＞ ＜li＞Stochastic volatility models＜/li＞ ＜li＞Jump-diffusion models＜/li＞ ＜/ul＞ ＜p＞The first half of the book, Chapters 1 through 13, can serve as a standalone textbook for a course on option valuation and the Black-Scholes-Merton model, presenting the principles of financial modeling, several derivations of the model, and a detailed discussion of how it is used in practice. The second half focuses on the behavior of the volatility smile, and, in conjunction with the first half, can be used for as the basis for a more advanced course.＜/p＞画面が切り替わりますので、しばらくお待ち下さい。 ※ご購入は、楽天kobo商品ページからお願いします。※切り替わらない場合は、こちら をクリックして下さい。 ※このページからは注文できません。 | 7,942円 |
 Option Pricing Models and Volatility Using Excel-VBA【電子書籍】[ Fabrice D. Rouah ] 楽天Kobo電子書籍ストア | ＜p＞This comprehensive guide offers traders, quants, and students the tools and techniques for using advanced models for pricing options. The accompanying website includes data files, such as options prices, stock prices, or index prices, as well as all of the codes needed to use the option and volatility models described in the book.＜/p＞ ＜p＞＜strong＞Praise for ＜em＞Option Pricing Models & Volatility Using Excel-VBA＜/em＞＜/strong＞＜/p＞ ＜p＞"Excel is already a great pedagogical tool for teaching option valuation and risk management. But the VBA routines in this book elevate Excel to an industrial-strength financial engineering toolbox. I have no doubt that it will become hugely successful as a reference for option traders and risk managers."＜br /＞ ー＜strong＞Peter Christoffersen＜/strong＞, Associate Professor of Finance, Desautels Faculty of Management, McGill University＜/p＞ ＜p＞"This book is filled with methodology and techniques on how to implement option pricing and volatility models in VBA. The book takes an in-depth look into how to implement the Heston and Heston and Nandi models and includes an entire chapter on parameter estimation, but this is just the tip of the iceberg. Everyone interested in derivatives should have this book in their personal library."＜br /＞ ー＜strong＞Espen Gaarder Haug＜/strong＞, option trader, philosopher, and author of ＜em＞Derivatives Models on Models＜/em＞＜/p＞ ＜p＞"I am impressed. This is an important book because it is the first book to cover the modern generation of option models, including stochastic volatility and GARCH."＜br /＞ ー＜strong＞Steven L. Heston＜/strong＞, Assistant Professor of Finance, R.H. Smith School of Business, University of Maryland＜/p＞画面が切り替わりますので、しばらくお待ち下さい。 ※ご購入は、楽天kobo商品ページからお願いします。※切り替わらない場合は、こちら をクリックして下さい。 ※このページからは注文できません。 | 10,148円 |
 Volatility Trading【電子書籍】[ Euan Sinclair ] 楽天Kobo電子書籍ストア | ＜p＞＜strong＞Popular guide to options pricing and position sizing for quant traders＜/strong＞＜/p＞ ＜p＞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.＜/p＞ ＜ul＞ ＜li＞Filled with volatility models including brand new option trades for quant traders＜/li＞ ＜li＞Options trader Euan Sinclair specializes in the design and implementation of quantitative trading strategies＜/li＞ ＜/ul＞ ＜p＞＜em＞Volatility Trading, Second Edition + Website＜/em＞ outlines strategies for defining a true edge in the market using options to trade volatility profitably.＜/p＞画面が切り替わりますので、しばらくお待ち下さい。 ※ご購入は、楽天kobo商品ページからお願いします。※切り替わらない場合は、こちら をクリックして下さい。 ※このページからは注文できません。 | 7,291円 |
 Volatility3で始めるメモリフォレンジック入門【電子書籍】[ むちぽぽ ] 楽天Kobo電子書籍ストア | ＜p＞本書は、デジタルフォレンジック技術の中でも特に注目すべき「メモリフォレンジック」についての入門書です。環境構築から実際の解析手法、さらに応用的なテクニックまで、包括的に解説しています。＜br /＞ 本書の対象読者：＜br /＞ ・情報セキュリティのプロフェッショナル＜br /＞ ・法執行機関の捜査担当者＜br /＞ ・デジタルフォレンジック技術に興味を持つ方＜br /＞ 前提とする知識：＜br /＞ ・Windowsの基本操作ができる方＜br /＞ ・Linuxの基本的なコマンドライン操作を行える方＜br /＞ ・IPA基本情報技術者試験に合格できる程度のコンピュータ知識を有する方＜/p＞ ＜p＞【目次】＜br /＞ 第1章 デジタルフォレンジックの概要＜br /＞ 第2章 メモリフォレンジックの特徴＜br /＞ 第3章 メモリダンプの取得方法＜br /＞ 第4章 Volatility3解析環境の構築＜br /＞ 第5章 Voaltility3でのメモリフォレンジック【基礎編】＜br /＞ 第6章 Voaltility3でのメモリフォレンジック【応用編】＜br /＞ 第7章 おわりに＜/p＞画面が切り替わりますので、しばらくお待ち下さい。 ※ご購入は、楽天kobo商品ページからお願いします。※切り替わらない場合は、こちら をクリックして下さい。 ※このページからは注文できません。 | 1,980円 |
 Option Trading Pricing and Volatility Strategies and Techniques【電子書籍】[ Euan Sinclair ] 楽天Kobo電子書籍ストア | ＜p＞An A to Z options trading guide for the new millennium ＜em＞and＜/em＞ the new economy＜/p＞ ＜p＞Written by professional trader and quantitative analyst Euan Sinclair, ＜em＞Option Trading＜/em＞ is a comprehensive guide to this discipline covering everything from historical background, contract types, and market structure to volatility measurement, forecasting, and hedging techniques.＜/p＞ ＜p＞This comprehensive guide presents the detail and practical information that professional option traders need, whether they're using options to hedge, manage money, arbitrage, or engage in structured finance deals. It contains information essential to anyone in this field, including option pricing and price forecasting, the Greeks, implied volatility, volatility measurement and forecasting, and specific option strategies.＜/p＞ ＜ul＞ ＜li＞Explains how to break down a typical position, and repair positions＜/li＞ ＜li＞Other titles by Sinclair: ＜em＞Volatility Trading＜/em＞＜/li＞ ＜li＞Addresses the various concerns of the profes＜em＞sional options tra＜/em＞der＜/li＞ ＜/ul＞ ＜p＞Option trading will continue to be an important part of the financial landscape. This book will show you how to make the most of these profitable products, no matter what the market does.＜/p＞画面が切り替わりますので、しばらくお待ち下さい。 ※ご購入は、楽天kobo商品ページからお願いします。※切り替わらない場合は、こちら をクリックして下さい。 ※このページからは注文できません。 | 6,471円 |
 Fourier-Malliavin Volatility Estimation Theory and Practice【電子書籍】[ Maria Elvira Mancino ] 楽天Kobo電子書籍ストア | ＜p＞This volume is a user-friendly presentation of the main theoretical properties of the Fourier-Malliavin volatility estimation, allowing the readers to experience the potential of the approach and its application in various financial settings. Readers are given examples and instruments to implement this methodology in various financial settings and applications of real-life data. A detailed bibliographic reference is included to permit an in-depth study.＜/p＞画面が切り替わりますので、しばらくお待ち下さい。 ※ご購入は、楽天kobo商品ページからお願いします。※切り替わらない場合は、こちら をクリックして下さい。 ※このページからは注文できません。 | 7,292円 |
 Inside Volatility Filtering Secrets of the Skew【電子書籍】[ Alireza Javaheri ] 楽天Kobo電子書籍ストア | ＜p＞＜strong＞A new, more accurate take on the classical approach to volatility evaluation＜/strong＞＜/p＞ ＜p＞＜em＞Inside Volatility Filtering＜/em＞ presents a new approach to volatility estimation, using financial econometrics based on a more accurate estimation of the hidden state. Based on the idea of "filtering", this book lays out a two-step framework involving a Chapman-Kolmogorov prior distribution followed by Bayesian posterior distribution to develop a robust estimation based on all available information. This new second edition includes guidance toward basing estimations on historic option prices instead of stocks, as well as Wiener Chaos Expansions and other spectral approaches. The author's statistical trading strategy has been expanded with more in-depth discussion, and the companion website offers new topical insight, additional models, and extra charts that delve into the profitability of applied model calibration. You'll find a more precise approach to the classical time series and financial econometrics evaluation, with expert advice on turning data into profit.＜/p＞ ＜p＞Financial markets do not always behave according to a normal bell curve. Skewness creates uncertainty and surprises, and tarnishes trading performance, but it's not going away. This book shows traders how to work with skewness: how to predict it, estimate its impact, and determine whether the data is presenting a warning to stay away or an opportunity for profit.＜/p＞ ＜ul＞ ＜li＞Base volatility estimations on more accurate data＜/li＞ ＜li＞Integrate past observation with Bayesian probability＜/li＞ ＜li＞Exploit posterior distribution of the hidden state for optimal estimation＜/li＞ ＜li＞Boost trade profitability by utilizing "skewness" opportunities＜/li＞ ＜/ul＞ ＜p＞Wall Street is constantly searching for volatility assessment methods that will make their models more accurate, but precise handling of skewness is the key to true accuracy. ＜em＞Inside Volatility Filtering＜/em＞ shows you a better way to approach non-normal distributions for more accurate volatility estimation.＜/p＞画面が切り替わりますので、しばらくお待ち下さい。 ※ご購入は、楽天kobo商品ページからお願いします。※切り替わらない場合は、こちら をクリックして下さい。 ※このページからは注文できません。 | 13,947円 |
 Interest Rate Derivatives Explained: Volume 2 Term Structure and Volatility Modelling【電子書籍】[ J?rg Kienitz ] 楽天Kobo電子書籍ストア | ＜p＞This book on Interest Rate Derivatives has three parts. The first part is on financial products and extends the range of products considered in Interest Rate Derivatives Explained I. In particular we consider callable products such as Bermudan swaptions or exotic derivatives. The second part is on volatility modelling. The Heston and the SABR model are reviewed and analyzed in detail. Both models are widely applied in practice. Such models are necessary to account for the volatility skew/smile and form the fundament for pricing and risk management of complex interest rate structures such as Constant Maturity Swap options. Term structure models are introduced in the third part. We consider three main classes namely short rate models, instantaneous forward rate models and market models. For each class we review one representative which is heavily used in practice. We have chosen the Hull-White, the Cheyette and the Libor Market model. For all the models we consider the extensions bya stochastic basis and stochastic volatility component. Finally, we round up the exposition by giving an overview of the numerical methods that are relevant for successfully implementing the models considered in the book.＜/p＞画面が切り替わりますので、しばらくお待ち下さい。 ※ご購入は、楽天kobo商品ページからお願いします。※切り替わらない場合は、こちら をクリックして下さい。 ※このページからは注文できません。 | 5,469円 |
 The Vega Factor Oil Volatility and the Next Global Crisis【電子書籍】[ Kent Moors ] 楽天Kobo電子書籍ストア | ＜p＞＜strong＞How oil volatility is affecting the global political scene, and where the oil market is heading＜/strong＞＜/p＞ ＜p＞The world is rapidly moving towards an oil environment defined by volatility. ＜em＞The Vega Factor: Oil Volatility and the Next Global Crisis＜/em＞ takes an in-depth look at the most important topics in the industry, including strategic risk, why traditional pricing mechanisms will no longer govern the market, and how the current government approaches have only worsened an already bad situation.＜/p＞ ＜ul＞ ＜li＞Details the industry's players, including companies, traders, and governments＜/li＞ ＜li＞Describes the priorities that will need to be revised, and the policies needed to achieve stability＜/li＞ ＜li＞Explains how today's oil market is fundamentally different from the pre-crisis market＜/li＞ ＜/ul＞ ＜p＞Oil prices affect everyone. ＜em＞The Vega Factor＜/em＞ explains the new international oil environment of increasing consolidation and decreasing competition, and reveals how consumers and investors can navigate price volatility and new government policies.＜/p＞画面が切り替わりますので、しばらくお待ち下さい。 ※ご購入は、楽天kobo商品ページからお願いします。※切り替わらない場合は、こちら をクリックして下さい。 ※このページからは注文できません。 | 3,804円 |
 Binary Options Strategies for Directional and Volatility Trading【電子書籍】[ Alex Nekritin ] 楽天Kobo電子書籍ストア | ＜p＞＜strong＞The first comprehensive guide to trading a unique class of options to manage risk and make smarter bets during volatile trading＜/strong＞＜/p＞ ＜p＞Providing savvy market players with a way to react quickly to event-driven opportunities and trends, exchange traded binary options are a unique type of derivative instrument offering fixed risk and reward. Available on four asset classesーstock index futures, commodity futures, Spot Forex and economic data releasesーthey are distinctly different from regular put/call options in that their pay-out structure offers only two potential outcomes, or settlement values: 0 or 100. The first guide focussing exclusively on this fast-growing sector of the options market, ＜em＞Trading Binary Options＜/em＞ examines the key differences between regular options trading and binary options trading and describes how binary trading is done. It also gives you the lowdown on the most successful binary trading strategies and how and when they should be deployed.＜/p＞ ＜ul＞ ＜li＞Outlines a rigorous approach to trading directionally around specific events, such as an earnings release, a shift in currencies, or a release of economic data＜/li＞ ＜li＞Provides the first comprehensive coverage of an increasingly popular but poorly understood trading instrument＜/li＞ ＜li＞Offers in-depth discussions of the six characteristics that distinguish binaries from other options and that make them such an attractive vehicle for hedging risk and improving returns＜/li＞ ＜/ul＞画面が切り替わりますので、しばらくお待ち下さい。 ※ご購入は、楽天kobo商品ページからお願いします。※切り替わらない場合は、こちら をクリックして下さい。 ※このページからは注文できません。 | 7,184円 |
 An Empirical Study of Price-Volume Relation: Contemporaneous Correlation and Dynamics Between Price Volatility and Trading Volume in the Hong Kong Stock Market.【電子書籍】[ Wing Ho NG ] 楽天Kobo電子書籍ストア | ＜p＞＜strong＞Abstract＜/strong＞＜/p＞ ＜p＞This paper investigates the contemporaneous correlation and dynamic relation between absolute price change (***|******Δ******P|***) and trading volume (＜em＞＜strong＞V＜/strong＞＜/em＞) in the Hong Kong stock market. With daily data of thirty-eight blue-chips from 2011 to 2015, evidence of positive correlation is found. Besides, the statistical results from Granger-causality tests indicate that the existence of the dynamic relation is very probable. The existence of different directions of causality may also be very probable, which depends on the use of different number of lagged values. Regarding the effect of earnings announcements, it may suggest that we can be more confident to use the stochastic time series model based on G-causality to predict |＜em＞ΔP＜/em＞| or ＜em＞V＜/em＞ when there is less information flowing into the market.＜/p＞画面が切り替わりますので、しばらくお待ち下さい。 ※ご購入は、楽天kobo商品ページからお願いします。※切り替わらない場合は、こちら をクリックして下さい。 ※このページからは注文できません。 | 152円 |
 Stalking the Black Swan Research and Decision Making in a World of Extreme Volatility【電子書籍】[ Kenneth Posner ] 楽天Kobo電子書籍ストア | ＜p＞Kenneth A. Posner spent close to two decades as a Wall Street analyst, tracking the so-called "specialty finance" sector, which included controversial companies such as Countrywide, Fannie Mae, Freddie Mac, CIT, and MasterCard-many of which were caught in the subprime mortgage and capital markets crisis of 2007. While extreme volatility is nothing new in finance, the recent downturn caught many off guard, indicating that the traditional approach to decision making had let them down. Introducing a new framework for handling and evaluating extreme risk, Posner draws on years of experience to show how decision makers can best cope with the "Black Swans" of our time.＜/p＞ ＜p＞Posner's shrewd assessment combines the classic fundamental research approach of Benjamin Graham and David Dodd with more recent developments in cognitive science, computational theory, and quantitative finance. He outlines a probabilistic approach to decision making that involves forecasting across a range of scenarios, and he explains how to balance confidence, react accurately to fast-breaking information, overcome information overload, zero in on the critical issues, penetrate the information asymmetry shielding corporate executives, and integrate the power of human intuition with sophisticated analytics. Emphasizing the computational resources we already have at our disposal-our computers and our minds-Posner offers a new track to decision making for analysts, investors, traders, corporate executives, risk managers, regulators, policymakers, journalists, and anyone who faces a world of extreme volatility.＜/p＞画面が切り替わりますので、しばらくお待ち下さい。 ※ご購入は、楽天kobo商品ページからお願いします。※切り替わらない場合は、こちら をクリックして下さい。 ※このページからは注文できません。 | 3,916円 |
 The Option Volatility and Pricing Value Pack【電子書籍】[ Sheldon Natenberg ] 楽天Kobo電子書籍ストア | ＜p＞＜strong＞Save big! The knowledge and practice investors need to conquer the options marketーtwo powerful guides in one affordable package＜/strong＞＜/p＞ ＜p＞＜em＞＜strong＞You don’t need to enroll in an expensive investing course to get the theory, instruction, and practice you need to conquer the options market.＜/strong＞＜/em＞＜/p＞ ＜p＞This priced-to-move combo includes two unbeatable guides that will get your portfolio where you want it to be: the new edition of Sheldon Natenberg’s ＜em＞Option Volatility and Pricing＜/em＞ーwhich offers the information, background, and investing techniques you need to navigate the marketーalong with his ＜em＞Options Volatility and Pricing Workbook＜/em＞, which provides a wide range of hands-on exercises readers can use to practice their methods before entering the market.＜/p＞画面が切り替わりますので、しばらくお待ち下さい。 ※ご購入は、楽天kobo商品ページからお願いします。※切り替わらない場合は、こちら をクリックして下さい。 ※このページからは注文できません。 | 14,859円 |
 Fiscal Rules Coping with Revenue Volatility in Lesotho and Swaziland【電子書籍】[ Jiro Honda ] 楽天Kobo電子書籍ストア | ＜p＞Over the past decade, Lesotho and Swaziland have faced significant volatility in their fiscal revenues, owing to highly unstable Southern African Customs Union (SACU) receipts. Based on model analysis, this paper explores the advantages of implementing fiscal rules to deal with such volatility. It finds that the use of a structural balance target could smooth the growth impact from revenue shocks while helping preserve sufficient international reserves during bad times. From a long-term perspective, it suggests possible welfare gains from introducing fiscal rules. Last, it concludes that, based on experiences in other countries, developing strong institutions and improving public financial management are necessary steps to ease the transitions to a rules-based fiscal policy framework.＜/p＞画面が切り替わりますので、しばらくお待ち下さい。 ※ご購入は、楽天kobo商品ページからお願いします。※切り替わらない場合は、こちら をクリックして下さい。 ※このページからは注文できません。 | 1,689円 |
 Financial Models with Levy Processes and Volatility Clustering【電子書籍】[ Svetlozar T. Rachev ] 楽天Kobo電子書籍ストア | ＜p＞An in-depth guide to understanding probability distributions and financial modeling for the purposes of investment management＜/p＞ ＜p＞In ＜em＞Financial Models with L?vy Processes and Volatility Clustering＜/em＞, the expert author team provides a framework to model the behavior of stock returns in both a univariate and a multivariate setting, providing you with practical applications to option pricing and portfolio management. They also explain the reasons for working with non-normal distribution in financial modeling and the best methodologies for employing it.＜/p＞ ＜p＞The book's framework includes the basics of probability distributions and explains the alpha-stable distribution and the tempered stable distribution. The authors also explore discrete time option pricing models, beginning with the classical normal model with volatility clustering to more recent models that consider both volatility clustering and heavy tails.＜/p＞ ＜ul＞ ＜li＞Reviews the basics of probability distributions＜/li＞ ＜li＞Analyzes a continuous time option pricing model (the so-called exponential L?vy model)＜/li＞ ＜li＞Defines a discrete time model with volatility clustering and how to price options using Monte Carlo methods＜/li＞ ＜li＞Studies two multivariate settings that are suitable to explain joint extreme events＜/li＞ ＜/ul＞ ＜p＞＜em＞Financial Models with L?vy Processes and Volatility Clustering＜/em＞ is a thorough guide to classical probability distribution methods and brand new methodologies for financial modeling.＜/p＞画面が切り替わりますので、しばらくお待ち下さい。 ※ご購入は、楽天kobo商品ページからお願いします。※切り替わらない場合は、こちら をクリックして下さい。 ※このページからは注文できません。 | 9,706円 |
 Volatility Trading【電子書籍】[ Euan Sinclair ] 楽天Kobo電子書籍ストア | ＜p＞In ＜em＞Volatility Trading＜/em＞, Sinclair offers you a quantitative model for measuring volatility in order to gain an edge in your 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. In addition, Sinclair explains the often-overlooked psychological aspects of trading, revealing both how behavioral psychology can create market conditions traders can take advantage of-and how it can lead them astray. Psychological biases, he asserts, are probably the drivers behind most sources of edge available to a volatility trader.＜/p＞ ＜p＞Your goal, Sinclair explains, must be clearly defined and easily expressed-if you cannot explain it in one sentence, you probably aren't completely clear about what it is. The same applies to your statistical edge. If you do not know exactly what your edge is, you shouldn't trade. He shows how, in addition to the numerical evaluation of a potential trade, you should be able to identify and evaluate the reason why implied volatility is priced where it is, that is, why an edge exists. This means it is also necessary to be on top of recent news stories, sector trends, and behavioral psychology. Finally, Sinclair underscores why trades need to be sized correctly, which means that each trade is evaluated according to its projected return and risk in the overall context of your goals.＜/p＞ ＜p＞As the author concludes, while we also need to pay attention to seemingly mundane things like having good execution software, a comfortable office, and getting enough sleep, it is knowledge that is the ultimate source of edge. So, all else being equal, the trader with the greater knowledge will be the more successful. This book, and its companion CD-ROM, will provide that knowledge. The CD-ROM includes spreadsheets designed to help you forecast volatility and evaluate trades together with simulation engines.＜/p＞画面が切り替わりますので、しばらくお待ち下さい。 ※ご購入は、楽天kobo商品ページからお願いします。※切り替わらない場合は、こちら をクリックして下さい。 ※このページからは注文できません。 | 6,471円 |
 Economic Equilibrium Building Wealth Amid Economic Volatility【電子書籍】[ Miles Greenwood ] 楽天Kobo電子書籍ストア | ＜p＞"Economic Equilibrium: Building Wealth Amid Economic Volatility" is a practical guide aimed at equipping readers with the knowledge and tools necessary to navigate the complexities of personal finance in a rapidly changing world. The book covers essential topics such as saving and investing in a volatile economy, managing debt and credit scores, and understanding emerging financial technologies like cryptocurrency. It provides actionable tips, interactive exercises, and resources to help readers achieve financial stability and growth. Whether you are a beginner or looking to optimize your financial strategies, this book offers comprehensive insights tailored to the realities of 2024 and beyond.＜/p＞画面が切り替わりますので、しばらくお待ち下さい。 ※ご購入は、楽天kobo商品ページからお願いします。※切り替わらない場合は、こちら をクリックして下さい。 ※このページからは注文できません。 | 1,577円 |
 The Volatility Machine Emerging Economics and the Threat of Financial Collapse【電子書籍】[ Michael Pettis ] 楽天Kobo電子書籍ストア | ＜p＞This book presents a radically different argument for what has caused, and likely will continue to cause, the collapse of emerging market economies. Pettis combines the insights of economic history, economic theory, and finance theory into a comprehensive model for understanding sovereign liability management and the causes of financial crises. He examines recent financial crises in emerging market countries along with the history of international lending since the 1820s to argue that the process of international lending is driven primarily by external events and not by local politics and/or economic policies. He draws out the corporate finance implications of this approach to argue that most of the current analyses of the recent financial crises suffered by Latin America, Asia, and Russia have largely missed the point. He then develops a sovereign finance model, analogous to corporate finance, to understand the capital structure needs of emerging market countries. Using this model, he finally puts into perspective the recent crises, a new sovereign liability management theory, the implications of the model for sovereign debt restructurings, and the new financial architecture. Bridging the gap between finance specialists and traders, on the one hand, and economists and policy-makers on the other, ＜em＞The Volatility Machine＜/em＞ is critical reading for anyone interested in where the international economy is going over the next several years.＜/p＞画面が切り替わりますので、しばらくお待ち下さい。 ※ご購入は、楽天kobo商品ページからお願いします。※切り替わらない場合は、こちら をクリックして下さい。 ※このページからは注文できません。 | 9,384円 |
 FORECASTING VOLATILITY OF OIL PRICES & THEIR EFFECT ON THE ECONOMY【電子書籍】[ May AL- ISSA ] 楽天Kobo電子書籍ストア | ＜p＞With the importance of crude oil and its effect on the macro and micro economy alike and with the fluctuations of oil prices mainly due to geopolitical reasons -speculators taking this advantage in raising the prices in 2008; forecasting crude oil volatility becomes vital. This project addresses three main areas: modelling volatility, forecasting and calculating options premiums and finally examining the effect of oil prices on the economy. Five year daily prices of OPEC, being the reference to oil prices, Brent being one of the main oil markets, BP.plc as one of the giant oil companies, and S&P500 being the important market index are obtained from different approved resources. Auto Regressive Conditional Heteroskedasticity series proved, as examined by vast number of studies in the literature reviewed; to be better in forecasting volatility in time series. GARCH and EGARCH are estimated under normality using random walk with drift for a better fit. Upon choosing the optimal models according to the Akaike and Schwartz Information Criteria; EGARCH(1,2) is of better fit to volatility for OPEC containing recent shocks to the prices, yet GARCH(1,2) and GARCH(5,4) provided almost similar results. EGARCH(1,1) proves to be yet another good model for both modelling and forecasting volatility of Brent crude returns by covering the asymmetry and the leverage effects. Options premiums calculated of 31-day forecast period using Black-Scholes model show different outcome to that obtained from Bloomberg implying the attraction of more investors to buy more profitable options since higher risk leads to higher profits. By performing the Johansen cointegration method, it is evident that oil price fluctuations have longer term relationship between OPEC and BP than between OPEC and S&P500 yet all three are in equilibrium portraying for more downturn in the economy.＜/p＞画面が切り替わりますので、しばらくお待ち下さい。 ※ご購入は、楽天kobo商品ページからお願いします。※切り替わらない場合は、こちら をクリックして下さい。 ※このページからは注文できません。 | 1,290円 |
 Navigating the Volatility of Higher Education Anthropological and Policy Perspectives【電子書籍】 楽天Kobo電子書籍ストア | ＜p＞Applied Anthropology provides a new perspective on today’s higher education environment. Volatile and unpredictable forces affect research and instruction across many sectors and levels, and global dynamics are among the strongest drivers of change. Further, within American higher education, daunting complexity and multiple layers of activity weave a rich tapestry of environment, structure, and culture. This book provides three complementary anthropological perspectives as a framework for analyzing the ground-shifting changes underway in higher education the higher education mindset, political and policy perspectives, and instruction and learning. These domains intersect with many operational dimensions of higher education research, health care, athletics, economic development, fiscal management, planning, and faculty roles/challenges another way of framing the complexity of the situation we are addressing. Book chapters also provide a set of implications for higher education policy. The book concludes with a vision of next steps in research and practice to further anthropology’s contribution to higher education policy and practice. The intended audience includes both academic and professionalsーe.g., faculty and students in departments of higher education, anthropology, and education policy. Higher education leaders, administrators, governing board members, and many others will find the book helpful in providing insight into today’s challenges. The book will also be of use to professionals outside higher education who work on policy issues, on meeting the needs of employers, and on preparing students for careers in public service.＜/p＞画面が切り替わりますので、しばらくお待ち下さい。 ※ご購入は、楽天kobo商品ページからお願いします。※切り替わらない場合は、こちら をクリックして下さい。 ※このページからは注文できません。 | 11,482円 |
 Financial Volatility and Real Economic Activity【電子書籍】[ Kevin Daly ] 楽天Kobo電子書籍ストア | ＜p＞Published in 1999. The issue of financial volatility, especially since financial deregulation, has given rise to concerns regarding the effects of increased financial volatility on real economic activity. Two issues represent a substantial challenge to financial economists with respect to these concerns. The first relates to the identification of the causes of increased volatility in financial markets. Identification is a first step towards increasing both financial economists' and policy-makers' understanding of the interrelated causes of financial volatility. The second requires linking the effects of increased financial volatility to the real sector of the economy by examining the channels through which financial volatility influences fundamental economic variables. In order to address these two issues, the analysis initially develops and estimates a model which is capable of explaining the financial and business cycle determinates of movements in the conditional volatility of the Australian All Industrials stock market index. Evidence suggests that a significant linkage exists between the conditional volatility of the money supply. Models are then developed to examine how monetary volatility is transmitted to the volatility of financial asset prices, inflation and real output in an open economy. The results indicate that while financial volatility has increased to some extent since the late 1980s, this has been transferred non-uniformly towards increasing volatility of both real and financial activity.＜/p＞画面が切り替わりますので、しばらくお待ち下さい。 ※ご購入は、楽天kobo商品ページからお願いします。※切り替わらない場合は、こちら をクリックして下さい。 ※このページからは注文できません。 | 7,597円 |
 Financial Mathematics, Volatility and Covariance Modelling Volume 2【電子書籍】 楽天Kobo電子書籍ストア | ＜p＞This book provides an up-to-date series of advanced chapters on applied financial econometric techniques pertaining the various fields of commodities finance, mathematics & stochastics, international macroeconomics and financial econometrics.＜/p＞ ＜p＞Financial Mathematics, Volatility and Covariance Modelling: Volume 2 provides a key repository on the current state of knowledge, the latest debates and recent literature on financial mathematics, volatility and covariance modelling. The first section is devoted to mathematical finance, stochastic modelling and control optimization. Chapters explore the recent financial crisis, the increase of uncertainty and volatility, and propose an alternative approach to deal with these issues. The second section covers financial volatility and covariance modelling and explores proposals for dealing with recent developments in financial econometrics＜/p＞ ＜p＞This book will be useful to students and researchers in applied econometrics; academics and students seeking convenient access to an unfamiliar area. It will also be of great interest established researchers seeking a single repository on the current state of knowledge, current debates and relevant literature.＜/p＞画面が切り替わりますので、しばらくお待ち下さい。 ※ご購入は、楽天kobo商品ページからお願いします。※切り替わらない場合は、こちら をクリックして下さい。 ※このページからは注文できません。 | 9,453円 |
 The Effects of Real Exchange Rate Volatility on Sectoral Investment Empirical Evidence from Fixed and Flexible Exchange Rate Systems【電子書籍】[ Bahar Erdal ] 楽天Kobo電子書籍ストア | ＜p＞Originally published in 1997. This study investigates what the effects of real exchange rate volatility are on sectorial investment in the fixed and flexible exchange rate systems. It lays out the results of research into the effects of the levels and volatility of real exchange rates on investment in the manufacturing sectors of the countries in the European Monetary System as well as of the countries in the flexible exchange rate system, with data from between 1973 and 1993. Examining the differences between the two systems in the results this book also looks at exchange rate effects on interest rates at the time.＜/p＞画面が切り替わりますので、しばらくお待ち下さい。 ※ご購入は、楽天kobo商品ページからお願いします。※切り替わらない場合は、こちら をクリックして下さい。 ※このページからは注文できません。 | 5,063円 |
 Asset Price Dynamics, Volatility, and Prediction【電子書籍】[ Stephen J. Taylor ] 楽天Kobo電子書籍ストア | ＜p＞This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility, and their probability distributions.＜/p＞ ＜p＞Stephen Taylor provides a comprehensive introduction to the dynamic behavior of asset prices, relying on finance theory and statistical evidence. He uses stochastic processes to define mathematical models for price dynamics, but with less mathematics than in alternative texts. The key topics covered include random walk tests, trading rules, ARCH models, stochastic volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions.＜/p＞ ＜p＞＜em＞Asset Price Dynamics, Volatility, and Prediction＜/em＞ is ideal for students of economics, finance, and mathematics who are studying financial econometrics, and will enable researchers to identify and apply appropriate models and methods. It will likewise be a valuable resource for quantitative analysts, fund managers, risk managers, and investors who seek realistic expectations about future asset prices and the risks to which they are exposed.＜/p＞画面が切り替わりますので、しばらくお待ち下さい。 ※ご購入は、楽天kobo商品ページからお願いします。※切り替わらない場合は、こちら をクリックして下さい。 ※このページからは注文できません。 | 12,697円 |
 Modelling Stock Market Volatility Bridging the Gap to Continuous Time【電子書籍】 楽天Kobo電子書籍ストア | ＜p＞This essay collection focuses on the relationship between continuous time models and Autoregressive Conditionally Heteroskedastic (ARCH) models and applications. For the first time, ＜em＞Modelling Stock Market Volatility＜/em＞ provides new insights about the links between these two models and new work on practical estimation methods for continuous time models. Featuring the pioneering scholarship of Daniel Nelson, the text presents research about the discrete time model, continuous time limits and optimal filtering of ARCH models, and the specification and estimation of continuous time processes. This work will lead to a rapid growth in their empirical application as they are increasingly subjected to routine specification testing.＜/p＞ ＜ul＞ ＜li＞Provides for the first time new insights on the links between continuous time and ARCH models＜/li＞ ＜li＞Collects seminal scholarship by some of the most renowned researchers in finance and econometrics＜/li＞ ＜li＞Captures complex arguments underlying the approximation and proper statistical modelling of continuous time volatility dynamics＜/li＞ ＜/ul＞画面が切り替わりますので、しばらくお待ち下さい。 ※ご購入は、楽天kobo商品ページからお願いします。※切り替わらない場合は、こちら をクリックして下さい。 ※このページからは注文できません。 | 12,810円 |