This paper is primarily concerned with pricing a general passport option (GPO) within the standard Black-Scholes framework. We show that in all possible cases of the allowed trading strategy, the price can be decomposed into simple portfolios of standard European calls and puts and a contract we...

This new edition of Forecasting Volatility in the Financial Markets assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting-edge modelling and forecasting techniques. It provides a...

Forecasting returns is as important as forecasting volatility in multiple areas of finance. This topic, essential to practitioners, is also studied by academics. In this new book, Dr Stephen Satchell brings together a collection of leading thinkers and practitioners from around the world who...