Overview

This eCourse looks at how volatility is calculated in Excel and issues such as fat tails, heteroscedasticity, and skew that affect its correct calculation. The different types of volatility shapes, such as the volatility surface and volatility smile, and the term structure of volatility are also examined in detail.

Objective

On completion of this course, you will be able to:
- List the different types of volatility and recall the process for calculating volatility in Excel
- Recognize the difference between asset prices and returns, and between normal and lognormal distributions
- Identify the different types of volatility pattern, including the volatility smile and volatility surface
- Recognize the importance of the term structure of volatility and its different shapes

Content

Option Valuation – Future Asset Prices & Volatility
Topic 1: Volatility Terminology & Calculations
Topic 2: Asset Returns & The Normal Distribution
Topic 3: Volatility Patterns
Topic 4: Term Structure of Volatility