Volatility as an Asset Class

Volatility derivatives are today an important group of financial instruments. This book presents an overview of their major classes and their possible applications in investment strategies and portfolio optimization. Volatility is not constant so the book presents its term structure and its potential use in forecasting volatility.

Volatility derivatives are an important group of financial instruments and their list is much longer than volatility index futures and options. This book reviews methods used for measurement, estimation and forecasting volatility and presents major classes of volatility derivatives and their possible applications in investment strategies and portfolio optimization. Since volatility is not constant, its term structure and the phenomenon of the volatility risk premium are discussed in view of the permanently instable relation between realized and implied volatility. The study proposes a method to use this information in the process of forecasting future values of volatility.

Autorentext

Juliusz Jablecki is assistant professor at the University of Warsaw and economic expert at the Polish central bank.
Ryszard Kokoszczynski is Professor of Economics at the University of Warsaw and Head of Research at the Polish central bank.
Pawel Sakowski is assistant professor at the University of Warsaw.
Robert Slepaczuk is quantitative fund manager at a private investment company and assistant professor at the University of Warsaw.
Piotr Wójcik is assistant professor at the University of Warsaw.

Inhalt
Contents: Volatility and its estimation Overview of volatility derivatives Volatility derivatives in investment strategies and portfolio optimization Predictive properties and modelling of volatility term structure Volatility risk premium Modern asset allocation.