volatility number

volatility number
индекс испаряемости

Англо-русский словарь технических терминов. 2005.

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  • Volatility arbitrage — (or vol arb) is a type of statistical arbitrage that is implemented by trading a delta neutral portfolio of an option and its underlier. The objective is to take advantage of differences between the implied volatility of the option, and a… …   Wikipedia

  • Volatility (finance) — Volatility most frequently refers to the standard deviation of the continuously compounded returns of a financial instrument with a specific time horizon. It is often used to quantify the risk of the instrument over that time period. Volatility… …   Wikipedia

  • Volatility Ratio — A technical indicator used to identify price ranges and breakouts. The volatility ratio uses a true price range to determine a stock s true trading range and is able to identify situations where the price has moved out of this true range. The… …   Investment dictionary

  • Local volatility — is a term used in quantitative finance to denote the set of diffusion coefficients, sigma(S T,T), that are consistent with the set of market prices for all option prices on a given underlier. This model is used to calculate values of exotic… …   Wikipedia

  • Stable and tempered stable distributions with volatility clustering - financial applications — Classical financial models which assume homoskedasticity and normality cannot explain stylized phenomena such as skewness, heavy tails, and volatility clustering of the empirical asset returns in finance. In 1963, Benoit Mandelbrot first used the …   Wikipedia

  • January 2008 stock market volatility — January 2008 was an especially volatile month in world stock markets, with a surge in implied volatility measurements of the US based S P 500 index [ [http://www.economist.com/displaystory.cfm?story id=10635708 Markets, Uncertain Times] , The… …   Wikipedia

  • индекс испаряемости — — [А.С.Гольдберг. Англо русский энергетический словарь. 2006 г.] Тематики энергетика в целом EN volatility indexvolatility number …   Справочник технического переводчика

  • Economic Affairs — ▪ 2006 Introduction In 2005 rising U.S. deficits, tight monetary policies, and higher oil prices triggered by hurricane damage in the Gulf of Mexico were moderating influences on the world economy and on U.S. stock markets, but some other… …   Universalium

  • Greeks (finance) — The Greeks redirects here. For the ethnic group, see Greeks. In mathematical finance, the Greeks are the quantities representing the sensitivities of the price of derivatives such as options to a change in underlying parameters on which the value …   Wikipedia

  • Convertible bond — Financial markets Public market Exchange Securities Bond market Fixed income Corporate bond Government bond Municipal bond …   Wikipedia

  • Black–Scholes — The Black–Scholes model (pronounced /ˌblæk ˈʃoʊlz/[1]) is a mathematical model of a financial market containing certain derivative investment instruments. From the model, one can deduce the Black–Scholes formula, which gives the price of European …   Wikipedia


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