Volatility Trading and Risk Management

Considering the current state of the global financial markets, it is no mystery why volatility forecasting has suddenly assumed such a prominent role within the finance industry. Short on theory and long on practical application, this book offers finance professionals real-world solutions to most volatility forecasting challenges they may encounter. In writing it, Professor Ser-Huang Poon, a leading international expert in the field, was careful to select only those volatility models that have been rigorously tested for their forecasting performance. Supported by the latest research on volatility forecasting, Poon develops a framework for understanding, modifying and strategically using the models described as part of an overall trading or portfolio risk management strategy.

• Carefully describes, evaluates and compares the latest research in volatility forecasting and provides valuable background information on volatility definition and estimation
• Provides clear, accessible guidance on how to model and forecast volatility across all asset classes and markets
• Covers the full range of modeling approach—from Black-Scholes to VIX, stochastic and multivariate modeling—and offers guidance on how to use the for trading and risk management