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Modelle zur Schtzung der Volatilitt

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Brand
Springer Nature
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N/A
Part Number
0
GTIN
9783824472055
Condition
New
Product Description

Seit Beginn der achtziger Jahre sind auf den Geld-, Wertpapier- und Devisenmrkten vermehrt zeitliche Hufungen von unterschiedlich starken Renditeausschlgen zu beobachten. Dieses als Volatilittscluster bezeichnete Phnomen legt eine zeitabhngige Modellierung der Finanzmarkt-Volatilitt nahe. Katja Specht vergleicht Modelle zur adquaten Beschreibung der weltweit zu beobachtenden Volatilittsmuster. Darber hinaus zeigt die Autorin, inwieweit neue Konzepte zur Schtzung der Volatilitt in die finanzwirtschaftlichen Fragestellungen der Optionsbewertung und der Berechnung des Value at Risk integriert werden knnen.

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