Spot and Forward Volatility in Foreign Exchange A New …即期和远期外汇的波动的一个新的….pdfVIP

Spot and Forward Volatility in Foreign Exchange: A New Forward Bias CFA Master Class Lucio Sarno Cass Business School September 2009 Lucio Sarno (Cass) Spot and Forward Volatility in FX September 2009 1 / 41 Overview We build the volatility analogue to the forward bias puzzle in Foreign Exchange (FX) study the relation between spot and forward implied volatility formulate and test the Forward Volatili