9. Volatility Modeling

MIT 18.S096 Topics in Mathematics with Applications in Finance, Fall 2013
View the complete course: ocw.mit.edu/18-S096F13
Instructor: Peter Kempthorne
This lecture introduces the topic of volatility modeling, including historical volatility, geometric Brownian motion, and Poisson jump diffusions.
License: Creative Commons BY-NC-SA
More information at ocw.mit.edu/terms
More courses at ocw.mit.edu

[@SeikoVanPaath]

Timestamps:
0:00:22 Estimation of Stationary ARMA Models (Recap of Lecture 8)
0:09:23 Tests for Stationarity/Non-Stationarity (from Lecture 8)
0:22:32 Defining Volatility
0:23:48 Historical Volatility: Measurement and Prediction
0:31:19 Geometric Brownian Motion (GBM)
0:59:32 Poisson Jump Diffusions
1:05:43 ARCH Models
1:15:19 GARCH Models

[@BreezeTalk]

watching these with the lecture notes open and having sone some reading is basically like attending an MIT class, so cool!

[@empress0ntombi]

Volatility Modeling starts at 20 minutes

[@SuperDangerousMouse]

skip to 20:30

[@Eon-Yang]

You saved my 20min!

[@conjetapierre8755]

Empress Ntombi Thank you

[@user-sk5fh9qo3v]

@@Eon-Yang это серия лекций! Лектор рассказывает то, что он не успел рассказать на предыдущем уроке

[@MLouw_]

ARCH models start at 1:05:38

[@DaSexPixels]

The prof. should be writing these equations out on the board as he talks about them. It's the only way to teach math. If his teachers used slides, I doubt he would have gotten to where he is today, teaching at leading research university. Unfortunately, he is not the only one. This a growing trend in academia.

[@hussein6419]

+DaSexPixels I don't know what's your problem lol? You're not even paying for it.

[@Jacob930321]

+DaSexPixels The camera man is the problem, not the prof.

[@jiancongwang1268]

Make sense. At least when the god damn professor talk, put the view onto the slides, not on the old man himself which makes no sense. The dude who edited this should be fired. Stanford open course's editing beats this any day of the week.

[@zhukeren]

If you find this bothers you, you can really access the course material on their website

[@arcx1000]

I agree, the whole reason I'm here is because this is exactly what my derivative modelling prof does, so that doesn't help much.

[@shawnfanning8519]

good job, because the books are hard to understand, because this is new to me. So he gave good job of breaking down the material.THK

[@forheuristiclifeksh7836]

26:00 Prediction based on historical volatility

[@MagicmathmandarinOrg]

Great intro course & good for reviewing basic things.

[@dombgerinefoxter]

Thank you very much. Great material

[@comenerv]

20:38 for volatility modelling

[@hrushikeshmallick6884]

why the power point presentation is set at a very high altitude and totally away from the teacher? The classroom setting is a really a problem here. Major problem can be addressed by setting the room and the power point. The instructor uses the slides while speaking, the camera instead of showing the slides, shows teacher's face to the audience.Other than this I have no major problems.One should appreciate that there si something interesting in the lecture although starting is little boring.

[@acuimoto]

thanks for this videos, i hope one the goes to the MIT

[@azharalimarri3341]

I found a very good lecturer on ARCH and GARCH models please suggest any good book for volatility modelling and prediction

[@UnkleRiceYo]

I'll save you one hour and twenty minutes... essentially, don't just use close close returns for volatility estimates. If your volatility changes with time, just use a simple GARCH model.

[@XShollaj]

Thank you

[@LemmaofIto-mz9ee]

just read Financial Risk Management book by Christoffesson

[@riccaccio1]

does anyone knows where to search for the solution of the maximum likelihood parameters estimation when delta_j varies and it is not equal to 1? minute 35:20

[@nvnradha]

how (C1-C0)^2 is scaled by sigma^2 to the chi square distribution

[@chandrikasaha6301]

the camera thinks that all wisdom lies on the face of the speaker and nothing much on the slides

[@rahulankarapu]

some slides contains copyrighted material. so they can't show the slides.

[@mahdisamei3331]

@@rahulankarapu The slides are available here: ocw.mit.edu/courses/mathematics/18-s096-topics-in-mathematics-with-applications-in-finance-fall-2013/lecture-notes/

[@micel99]

Does anyone know where to find the case study code? It sources the test_vol1b.r file including the fcn function, which is not available online. Thanks!

[@mitocw]

The case study code for lecture 9 was not made available to us.

[@annawilson3824]

23:49 Volatility formula

[@nahshahehsha6794]

Yo wen dyd Mike Pence stard teeching at MIT?

[@anonimanonim8665]

The paper of Parkinson is from 1980 not 1976.

[@WallaceRoseVincent]

Anyone interested in working through the course together?

[@randomYtuberr]

Hows it going so far ?

[@sunnybae4921]

I would like to walk through the course together! Let me know!

[@randiaz95]

me too

[@bleacherz7503]

@@sunnybae4921 I’ve taken this course

[@riccaccio1]

@@bleacherz7503 Hi do you have the solution for the exercise on maximum likelihood parameters estimation for the geometric brownian motion case when delta_j varies and it is not equal to 1??

[@jeffgao5942]

Math Mike Pence > Regular Mike Pence

[@nahshahehsha6794]

Not writing on the board? At MIT? What a joke.

[@harryj1081]

well if this was anything of practical use, volmageddon and GME squeeze wouldnt have happened, would it?

[@sebastiansantolalla9184]

LMAO bro said fenance 😭

[@InterShoreBankingExperts]

give the super cougher some water.