Forecasting Volatility in the Financial Markets, Third Edition (Quantitative Finance) Review

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Forecasting Volatility in the Financial Markets, Third Edition (Quantitative Finance) ReviewFor the seriously included financial modeller, who has a strong mathematical bent, the book is a good read. It explains several models used to try to characterise volatility. Typically, these go beyond the normal distribution; using, for example, the Generalised Error Distribution.
High order moments of the distributions are looked at. Like the consideration of what effects leptokurtosis have. Simulations also figure prominently in the book. So you can dry run your own models against some hopefully relevant "reality". In part, this is to look for simple forecasting rules that can then be applied in an actual market.
It should be no surprise that option pricing is extensively discussed. Starting with the partial differential method in Black-Scholes. There is a quick review of the considerable literature that has flowed from usage and refinement of Black-Scholes.
An attraction of the book is its recent vintage. Keeps you current on the best understanding of modelling.Forecasting Volatility in the Financial Markets, Third Edition (Quantitative Finance) Overview

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