Lecture 19: Volatility Modeling

MIT 18.642 Topics in Mathematics with Applications in Finance, Fall 2024 Instructor: Peter Kempthorne View the complete course: https://ocw.mit.edu/courses/18-642-topics-in-mathematics-with-applications-in-finance-fall-2024 YouTube Playlist: https://www.youtube.com/playlist?list=PLUl4u3cNGP601Q2jo-J_3raNCMMs6Jves Uploaded 03-12-25 This lecture provides a comprehensive overview of volatility modeling in finance, covering fundamental concepts such as realized volatility, historical and implied volatility, and various estimation techniques including exponential moving averages and advanced estimators like the Garman-Klass and Yang-Zhang models. It also delves into stochastic process models like geometric Brownian motion, jump diffusion, and time-varying volatility models such as ARCH and GARCH, alongside practical time series forecasting methods and empirical case studies, highlighting their applications and comparative efficiencies. License: Creative Commons BY-NC-SA More information at https://ocw.mit.edu/terms More courses at https://ocw.mit.edu Support OCW at http://ow.ly/a1If50zVRlQ We encourage constructive comments and discussion on OCW’s YouTube and other social media channels. Personal attacks, hate speech, trolling, and inappropriate comments are not allowed and may be removed. More details at https://ocw.mit.edu/comments. Learn more about your ad choices. Visit megaphone.fm/adchoices Learn more about your ad choices. Visit megaphone.fm/adchoices