Modelling and Forecasting Returns and Volatility on Capital Markets 2400-ZEMG146
The main aim of this seminar is to present the latest financial research published in top journals in the field and help students to choose the most adequate theme of their master thesis, taking into account not only their abilities but their future career paths and job interests. Students will learn the latest volatility and returns forecasting models and advanced investment derivatives based strategies which incorporate unconventional distributions of returns. Additionally, they will learn how to calibrate models and test them on empirical data (finacial time series), with daily and intra-daily frequency. Moreover the topics of identifying, quantifying, modelling and managing risk according to the latest investigation in financial literature will be discussed.
The final assesment is conditional on the preparation of outstanding master thesis.
Type of course
Bibliography
Andersen T.G., Bollerlev T., 1998, Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts", International Economic Review, 39, No.4, 885-905.
Andersen T.G., Bollerslev T., Diebold F.X, Ebens H., 2001, The Distribution of Realized Stock Return Volatility, Journal of Financial Economics, 61, 43-76.
Bachelier L., 1900, Theorie de la Speculation, Gauthier-Villars, Paris, w: P. Cootner, The Random Character of Stock Market Prices, MIT Press, Cambridge, Mass., 17-78.
Bakshi, G., Cao, Ch., Chen, Z., 1997, Empirical Performance of Alternative Option Pricing Models, Journal of Finance, LII, 5, 2003-2049.
Bates, D.S., 2003, Empirical option pricing: a retrospection, Journal of Econometrics, 116, 387-404.
Black F., 1976, Studies of stock market volatility changes, Proceedings of the American Statistical Association, Business and Economic Statistics Section, 177-181.
Black, F., and Scholes, M., 1973, The pricing of options and corporate liabilities, Journal of Political Economy, 81, 637-659.
Brock W., Lakonishok J., LeBaron B., 1992, Simple Technical Trading Rules and the Stochastic Properties of Stock Returns, Journal of Finance 47(5), 1731-1764.
Campbell J.Y., Lo A.W., MacKinley A.C., The Econometrics of Financial Markets, Princeton University Press, New Jersey 1997.
Cowles A., 1933, Can Stock Market Forecasters Forecast?, Econometrica 1(3), 309-324.
Czekaj J., Woś M., Żarnowski J., 2001, Efektywność giełdowego rynku akcji w Polsce, Wydawnictwo Naukowe PWN, Warszawa.
Derman E., Demeterfi K, Kamal M., Zou J., 1999, More than you ever wanted to know about volatility swaps, Quantitative Strategies Research Notes, Goldman Sachs.
Fama E.F., 1998, Market Efficiency, Long-Term Returns and Behavioral Finance, Journal of Financial Economics 49, 283-306.
Giot P., Laurent S., 2004, Modelling daily Value-at-Risk using realized volatility and ARCH type models, Journal of Empirical Finance, vol. 11(3), 379-398.
Haugen Robert A., 1993, Modern Investment Theory, Prentice Hall Inc.
Haugen Robert A., 1999, Nowa nauka o finansach. Przeciw efektywności rynku, WIG-Press, Warszawa.
Hull J., White A., 1987, The pricing of options on assets with stochastic volatilities, Journal of Finance 42, 281-300.
Hull J., Options, Futures and Other Derivatives, Prentice Hall, New Jersey 2006.
Jajuga K., 2000, Metody ekonometryczne i statystyczne w analizie rynku kapitałowego, Wydawnictwo Akademii Ekonomicznej we Wrocławiu, Wrocław.
Lo A.W., MacKinlay A.C., 1999, A Non-Random Walk Down Wall Street, Princeton, NJ, Princeton University Press.
Malkiel B.G., 2003, The Efficient Market Hypothesis and Its Critics, CEPS Working Paper No. 91, Princeton University.
Martens M., Zein J., 2003, Prediciting Financial Volatility: High-Frequency Time Series Forecasts vis-?-vis Implied Volatility.
Merton R. C., 1973, Theory of Rational Option Pricing, Bell Journal of Economics and Management Science, 4, 141-183.
Merton R.C., Continuous-Time Finance, Revised Edition, Oxford, UK: Basic Blackwell.
Murphy J.J., 1998, Międzyrynkowa analiza techniczna, WIG-Press, Warszawa.
Murphy J.J., 1999, Analiza techniczna rynków finansowych, WIG-Press, Warszawa.
Poon S., Granger C.W.J., 2003, Forecasting volatility in financial markets: A review, Journal of Economic Literature 41, 478-539.
Sharpe W.F., 1995, Investments, Prentice Hall International, London.
Szyszka A., 2003, Efektywność giełdy papierów wartościowych w Warszawie na tle rynków dojrzałych, Wydawnictwo Akademii Ekonomicznej, Poznań.
Tsay Ruey S., 2002, Analysis of Financial Time Series, John Wiley & Sons, New York.
Wlimott P., Paul Wilmott On Quantitative Finance, 2nd Edition, John Wiley & Sons, Chichester 2006.]
Additional information
Additional information (registration calendar, class conductors, localization and schedules of classes), might be available in the USOSweb system: