'Daily volatility' presentation slideshows

Mafinrisk 2010 Market Risk course

Mafinrisk 2010 Market Risk course. Value at Risk Models: the parametric approach Andrea Sironi Sessions 5 & 6. Agenda. Market Risks VaR Models Volatility estimation The confidence level Correlation & Portfolio Diversification Mapping Problems of the parametric approach. Market Risks.

872 views • 59 slides

Volatility

Volatility. Chapter 10. Definition of Volatility. Suppose that S i is the value of a variable on day i . The volatility per day is the standard deviation of ln ( S i / S i -1 )

326 views • 31 slides

The Dynamic Relation of Volatility and Futures Trading under Market Conditions and Changing Sentiments

The Dynamic Relation of Volatility and Futures Trading under Market Conditions and Changing Sentiments. PAUL L. HSUEH Y. ANGELA LIU NICHOLAS R. LEE . 1. INTRODUCTION. Critics of financial market innovations and liberalization

470 views • 28 slides

Currency Derivatives (or chapter 7)

Currency Derivatives (or chapter 7). Agenda. How forex futures quoted & used for speculation? Futures vs. forwards? How forex options are quoted? Speculate w/ forex options. Distinction b/n buying & writing options? How forex options are valued?. Forex Futures.

421 views • 25 slides

The Connections Between Valuation, Risk and Return: The Case for Buying at a Discount

221 views • 14 slides