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Author: Ιωαννίδης, Ελευθέριος
Ioannidis, Eleftherios
Title: Volatility forecasting and volatility indices: a comprehensive review and practical applications in finacial derivatives pricing and portfolio management.
Date Issued: 2013
Department: Διατμηματικό Πρόγραμμα Μεταπτυχιακών Σπουδών στη Διοίκηση Επιχειρήσεων
Supervisor: Ζαπράνης, Αχιλλέας
Zapranis, Achilleas
Abstract: This thesis provides a broad overview of the evolution that has been made in the fields of volatility forecasting and derivatives pricing. The most common volatility forecasting models are described, in addition with derivatives pricing methods. The academic bibliography of volatility indices is also presented. The principal aim of this thesis is to provide for the first time a complete and comprehensive literature review of all publicly available volatility indices, which are considered the most important tools for volatility forecasts, but also for risk management and portfolio management as well. In the next pages, the kinds of volatility indices, their calculation processes and their practical applications are discussed.
Keywords: Volatility forecasting
Volatility indices
Derivatives pricing
Portfolio management
Information: Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2013.
Appears in Collections:ΔΠΜΣ Διοίκηση Επιχειρήσεων (M)

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