Volatility

(1.5 Credits)

The most fascinating aspect of financial market prices is their volatility Students will learn how to measure and forecast financial volatility They will become proficient with ARCHGARCH models exponential smoothing and historical volatilities These tools will be used to measure risk and analyze alternative approaches to calculating Value at Risk Implied volatilities from options will be introduced and compared statistically and economically Then the course will turn to the multiasset problem and discuss traditional and new approaches to measuring and forecasting correlations These tools will be applied to the problem of dynamic portfolio selection and risk control.