'Volatility models' presentation slideshows

Modelling Volatility Skews

Modelling Volatility Skews. Bruno Dupire Bloomberg bdupire@bloomberg.net London, November 17, 2006. OUTLINE. Generalities Leverage and jumps Break-even volatilities Volatility models Forward Skew Smile arbitrage. Generalities. K. K. K. Market Skews.

732 views • 73 slides

Supervisor: Professor Moisa Altar

544 views • 38 slides

Value at Risk: A Comparative Analysis

Value at Risk: A Comparative Analysis. Filip Iorgulescu. Introduction. Why is VaR a challenging subject for me?. - scientific but also practical - easy to understood, difficult to determine - a benchmark with certain shortcomings.

302 views • 17 slides

Value at Risk: A Comparative Analysis

Value at Risk: A Comparative Analysis. Filip Iorgulescu. Introduction. Why is VaR a challenging subject for me?. - scientific but also practical - easy to understood, difficult to determine - a benchmark with certain shortcomings.

267 views • 17 slides

Volatility Models

Fin250f: Lecture 5.2 Fall 2005 Reading: Taylor, chapter 9. Volatility Models. Outline. Stochastic volatility models ARCH(1) GARCH(1,1) GARCH(p,q) GJR and volatility asymmetry. Stochastic Volatility. Stochastic Volatility. Very straightforward Difficult to estimate Extensions:

203 views • 11 slides

Long memory or long range dependence

Long memory or long range dependence. ARMA models are characterized by an exponential decay in the autocorrelation structure as the lag goes to infinity. Long memory processes are stationary time series that exhibit a slower decay in the autocorrelation structure

334 views • 7 slides