You might also like

More about Inside Volatility Filtering

• Book details
• Synopsis
• Trending among others

You get 243 loyalty points

Book synopsis

Author and financial expert Alireza Javaheri uses the classic approach to evaluating volatility--time series and financial econometrics--in a way that he believes is superior to methods presently used by market participants. He also suggests that there may be "skewness" trading opportunities that can be sued to trade the markets mroe profitably. Filed with in-depth insight and expert advice, this book will focus on the idea of filtering.§The idea behind filtering is to obtain the best possible estimation of a hidden state given all the available information up to that point. This estimation is done in an iterative manner in two stages: The first step is a time update in which the prior distribution from all the past information via a Chapman-Kolmogorov equation. The second step would then involve a measurement update where this prior distribution is used together with the conditional likelihood of the newest observation in order to compute the posterior distribution of the hidden state. The Bayes rule is used for this purpose. Once the posterior distribution is determined, it can be exploited for the optimal estimation of the hidden state.§For practitioners and students, the author is adding content on:§estimation from historic option prices instead of stocks, as the observation quality is better§spectral approaches and in particular Wiener Chaos Expansions§on the statistical trading strategy in section 3

Book details

Book category Books in English Economics, finance, business & management Business & management Management & management techniques

• Full title: Inside Volatility Filtering
• Subtitle: Secrets of the Skew
• Author: Alireza Javaheri
• Language: English
• Binding: Hardback
• Number of pages: 320
• EAN: 9781118943977
• ISBN: 9781118943977
• ID: 03025782
• Publisher: John Wiley & Sons Inc
• Weight: 518 g
• Dimensions: 164 × 172 × 30 mm
• Date of publishing: 09. October 2015

Trending among others

---

---

---