Volatility: Financial Maths Part V

Volatility has been described in recent times as being "one of the most important risk indicators that is available to market participants and observers". The delivery of targeted returns with low volatility may be the hope of all investors, but is not always a reality. This pathway will provide insight into the best models to understand volatility.

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9 videos • 43 minutes

  • What is Volatility?

    In this video, Abdulla provides an overview of volatility - a term that is associated with the magnitude of movements in price of an asset over time.

    Abdulla Javeri05:42

  • Measuring Volatility

    Volatility can be measured for any period. In this video, Abdulla explains the two ways to convert from one period to another.

    Abdulla Javeri04:34

  • Value at Risk

    In the third part of Abdulla's series on volatility, Abdulla will work through an example of the use of volatility in the area of risk management. For this video, viewers will need to be familiar with cumulative distribution functions and z-scores.

    Abdulla Javeri03:58

  • Volatility and Option Pricing

    In this final video of the series on volatility, Abdulla demonstrates the use of volatility in option pricing. No prior knowledge of options is required.

    Abdulla Javeri03:26

  • Introduction to the Monte Carlo Simulation

    Abdulla explains the significance of the Monte Carlo Simulation: what it tries to achieve and how it works. In so doing, Abdulla provides an example using an excel spreadsheet.

    Abdulla Javeri04:52

  • The Monte Carlo Simulation in Excel

    In the previous video, Abdulla explained how Monte Carlo is a way of modelling a probability distribution of returns or prices. In this video, Abdulla examines the nature of stock returns to come up with a formula that can be used in Excel to simulate the price paths.

    Abdulla Javeri05:09

  • Option Pricing without Black-Scholes

    The Black-Scholes Merton option pricing model is the Nobel Prize winning formula that is used as the basis of pricing options. In this video, Abdulla will discuss option pricing without Black-Scholes and in doing so it will provide hints to understanding the more complex area of option Greeks which will be covered in the second video on this topic.

    Abdulla Javeri05:08

  • Option Pricing without Black-Scholes Illustration

    In the first video on this topic, Abdulla discussed option pricing without using the Black-Scholes model but left a few unanswered questions. In this video, Abdulla will cover those remaining questions relating to the appropriate probability distribution to use, the volatility of the asset, how far away the spot is in relation to the strike, the forward price and the time to expiry.

    Abdulla Javeri05:12

  • Portfolio Volatility

    In this video, Abdulla outlines the importance of monitoring portfolio volatility risk and the way it is calculated for a two asset portfolio, and a three stock portfolio.

    Abdulla Javeri05:39

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