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Christian
01-05-2008, 12:09 PM
I'm not sure if this is the right forum because I'm not exactly recommending a book, but does anyone have A Practical Guide to Forecasting Financial Market Volatility by Ser-Huang Poon?

Here's a link to the amazon page: Amazon.com: A Practical Guide to Forecasting Financial Market Volatility (The Wiley Finance Series): Books: Ser-Huang Poon (http://www.amazon.com/Practical-Forecasting-Financial-Volatility-Finance/dp/0470856130/ref=si3_rdr_bb_product)

If not, does anyone have any good papers other than the Goldman Sachs "Everything You Ever Wanted to Know About Volatility Swaps?" Thanks everyone, your help is much appreciated.

Bastian Gross
01-06-2008, 04:32 PM
Hello Christian,

I've read this paper (http://edoc.hu-berlin.de/series/sfb-649-papers/2006-52/PDF/52.pdf) of
Kai Detlefsen and Wolfgang Härdle (HU Berlin, Germany)
If you are interesting in calibration of vola swaps: Attaoui (http://affi2007.u-bordeaux4.fr/Actes/106.pdf)

I hope the paper helps you.