Asset Price Dynamics, Volatility, and Prediction

Description

Moving beyond purely theoretical models, the author applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility, and their probability distributions.

Stephen J. Taylor is Professor of Finance at Lancaster University, England. He is the author of "Modelling Financial Time Series" and many influential articles about applications of financial econometrics.

Winner of the 2005 BestBook Award, Riskbook.com "This book provides thorough, well-presented and concise coverage of asset price dynamics and manages to combine new developments, established issues, theory and application in a practical and refreshing manner. It is well illustrated with time series graphs and tables and has a good balance between theoretical concepts and their practical applications with a mathematical treatment that is not too specialized."--Anthony F. Gyles, RSS