Modeling and Forecasting Volatility in the Financial Markets

Evgeny Burnaev (Russian Academy of Sciences)
Monday, May 18, 2015 - 2:00pm
Spandauer Straße 1, Room 23

Volatility modeling and forecasting have attracted much attention in recent years, largely motivated by its importance in financial markets. Many asset-pricing models use volatility estimates as a simple risk measure, and volatility appears in option pricing formulas derived from such models as the famous Black-Scholes model and its various extensions. For hedging against risk and for portfolio management, reliable volatility estimates and forecasts are crucial.
The aim of this talk is to systematically overview and categorize the various volatility concepts, measurement procedures, and modeling procedures.