Understanding Volatility

Volatility is one of the most widely-used risk measures in finance. However it is not without weaknesses if its limitations and assumptions in how it is used are not fully appreciated.

This course focuses on volatility, from its selection as a risk measure, its flaws, relationship to probabilities, to many of the ways it is used in financial applications. These include scaling with time, combining volatilities for multi-asset portfolios, exploring how it may evolve with time, estimating future volatility, and implied volatility.

Examples are provided throughout to help practitioners appreciate key concepts.

The estimated time required to complete this course is 6-9 hours.
  • 1A Introduction
  • 1B Introduction
  • 2A Volatility
  • 2B Volatility
  • 3A The Normal Distribution
  • 3B The Normal Distribution
  • 3C The Normal Distribution
  • 3D The Normal Distribution
  • 4A Scaling Volatility with Time
  • 4B Scaling Volatility with Time
  • 4C Scaling Volatility with Time
  • 4D Scaling Volatility with Time
  • 5A Correlation
  • 5B Correlation
  • 5C Correlation
  • 5D Correlation
  • 5E Correlation
  • 5F Correlation
  • 5G Correlation
  • 6A Time-Evolution of Volatility
  • 6B Time-Evolution of Volatility
  • 6C Time-Evolution of Volatility
  • 6D Time-Evolution of Volatility
  • 6E Time-Evolution of Volatility
  • 6F Time-Evolution of Volatility
  • 6G Time-Evolution of Volatility
  • 7A Estimating Volatility
  • 7B Estimating Volatility
  • 7C Estimating Volatility
  • 8A Implied Volatility
  • 8B Implied Volatility
  • 8C Implied Volatility
  • 8D Implied Volatility
  • 9 Summary
  • Understanding Volatility Test
  • Understanding Volatility Course Survey
Completion rules
  • All units must be completed