Analysing Intraday Implied Volatility for Pricing Currency Options / Contributions to Finance and Accounting (PDF)
(Sprache: Englisch)
This book focuses on the impact of high-frequency data in forecasting market volatility and options price. New technologies have created opportunities to obtain better, faster, and more efficient datasets to explore financial market phenomena at the most...
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This book focuses on the impact of high-frequency data in forecasting market volatility and options price. New technologies have created opportunities to obtain better, faster, and more efficient datasets to explore financial market phenomena at the most acceptable data levels. It provides reliable intraday data supporting financial investment decisions across different assets classes and instruments consisting of commodities, derivatives, equities, fixed income and foreign exchange.
This book emphasises four key areas, (1) estimating intraday implied volatility using ultra-high frequency (5-minutes frequency) currency options to capture traders' trading behaviour, (2) computing realised volatility based on 5-minute frequency currency price to obtain speculators' speculation attitude, (3) examining the ability of implied volatility to subsume market information through forecasting realised volatility and (4) evaluating the predictive power of implied volatilityfor pricing currency options. This is a must-read for academics and professionals who want to improve their skills and outcomes in trading options.
Autoren-Porträt von Thi Le
Dr. Thi Le is a Research Associate at Murdoch University, Australia. She served both industries and academia with ten years of teaching experiences in Finance and Accounting and working experiences in several industry projects. Her research interests include derivatives, financial forecasting, fintech, supply chain, and accounting framework. She has published many research papers in prominent international journals, conferences and received a number of industry grants.
Bibliographische Angaben
- Autor: Thi Le
- 2021, 1st ed. 2021, 350 Seiten, Englisch
- Verlag: Springer International Publishing
- ISBN-10: 3030712427
- ISBN-13: 9783030712426
- Erscheinungsdatum: 13.04.2021
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
eBook Informationen
- Dateiformat: PDF
- Größe: 2.97 MB
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Sprache:
Englisch
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