Volatility - Revision history

Doug: Add link.

2024-11-05T03:00:18Z

Add link.

← Older revision		Revision as of 03:00, 5 November 2024
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	* [[Vega]]		* [[Vega]]
	* [[Vega hedging]]		* [[Vega hedging]]
			* [[Volatile]]
	* [[Volatility index]]		* [[Volatility index]]
	* [[Volatility smile]]		* [[Volatility smile]]

imported>Doug Williamson: Add link.

2022-02-24T11:59:19Z

Add link.

← Older revision		Revision as of 11:59, 24 February 2022
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	* [[Modified duration]]		* [[Modified duration]]
	* [[Natural logarithm]]		* [[Natural logarithm]]
			* [[Orderly market]]
	* [[Risk-free rate of return]]		* [[Risk-free rate of return]]
	* [[Sensitivity]]		* [[Sensitivity]]

imported>Doug Williamson: Expand to include non-financial measures.

2021-05-21T23:45:21Z

Expand to include non-financial measures.

← Older revision		Revision as of 23:45, 21 May 2021
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	1. ''Variability.''		1. ''Variability.''

	The degree of variability of any financial or other ~~variable~~ over time.		The degree of variability of any important financial amount - or other important measure - over time.

			For example an asset price, a foreign exchange rate, or an interest rate.

	~~For example an asset price, a foreign exchange rate, or a periodic rate of return.~~
	It can be quantified on a simplified basis as the annualised standard deviation of the variable.		It can be quantified on a simplified basis as the annualised standard deviation of the variable.

imported>Doug Williamson: Add headers.

2021-04-08T14:52:46Z

Add headers.

← Older revision		Revision as of 14:52, 8 April 2021
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	1.		1. ''Variability.''

	The degree of variability of any financial or other variable over time.		The degree of variability of any financial or other variable over time.
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	2.		2. ''Bond prices.''

	In relation to bond price sensitivity (to changes in market yields) volatility means the same as modified duration.		In relation to bond price sensitivity (to changes in market yields) volatility means the same as modified duration.


	3.		3. ''Options.''

	In relation to options, volatility refers to the expected variability of the returns from investing in the underlying asset at its prevailing market price, over the remaining maturity of the option.		In relation to options, volatility refers to the expected variability of the returns from investing in the underlying asset at its prevailing market price, over the remaining maturity of the option.
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	4.		4. ''Instability.''

	Any other form of instability.		Any other form of instability.
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	== See also ==		== See also ==
			* [[Correlation]]
	* [[Headwind]]		* [[Headwind]]
			* [[Hedging]]
	* [[Implied volatility]]		* [[Implied volatility]]
	* [[Lognormally distributed share returns]]		* [[Lognormally distributed share returns]]
	* [[~~LVNAV~~]]		* [[Low-volatility NAV]]
			* [[Mean deviation]]
	* [[Mean reversion]]		* [[Mean reversion]]
	* [[Modified duration]]		* [[Modified duration]]
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	* [[Standard deviation]]		* [[Standard deviation]]
	* [[Underlying asset]]		* [[Underlying asset]]
			* [[Value at risk]]
			* [[Variability]]
	* [[Vega]]		* [[Vega]]
	* [[Vega hedging]]		* [[Vega hedging]]

imported>Doug Williamson: Link with Headwind page.

2019-07-19T11:00:22Z

Link with Headwind page.

← Older revision		Revision as of 11:00, 19 July 2019
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	== See also ==		== See also ==
			* [[Headwind]]
	* [[Implied volatility]]		* [[Implied volatility]]
	* [[Lognormally distributed share returns]]		* [[Lognormally distributed share returns]]

imported>Doug Williamson: Categorise.

2018-02-21T11:07:18Z

Categorise.

← Older revision		Revision as of 11:07, 21 February 2018
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	* [[Volatility smile]]		* [[Volatility smile]]
	* [[Volatility trader]]		* [[Volatility trader]]

			[[Category:Financial_risk_management]]

imported>Doug Williamson: Layout.

2018-02-05T20:17:37Z

Layout.

← Older revision		Revision as of 20:17, 5 February 2018
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	* [[Modified duration]]		* [[Modified duration]]
	* [[Natural logarithm]]		* [[Natural logarithm]]
	* [[Risk free rate of return]]		* [[Risk-free rate of return]]
	* [[Sensitivity]]		* [[Sensitivity]]
	* [[Stability]]		* [[Stability]]

imported>Doug Williamson: Add link.

2016-09-06T14:11:32Z

Add link.

← Older revision		Revision as of 14:11, 6 September 2016
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	* [[Implied volatility]]		* [[Implied volatility]]
	* [[Lognormally distributed share returns]]		* [[Lognormally distributed share returns]]
			* [[LVNAV]]
	* [[Mean reversion]]		* [[Mean reversion]]
	* [[Modified duration]]		* [[Modified duration]]

imported>Doug Williamson: Expand.

2016-08-10T19:38:27Z

Expand.

← Older revision		Revision as of 19:38, 10 August 2016
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	(i) From historical underlying asset price data, or <br>		(i) From historical underlying asset price data, or <br>
	(ii) As implied volatility in the current market price of the option, if all of the other drivers of the current market price of the option (including the risk-free rate of return) are known.		(ii) As implied volatility in the current market price of the option, if all of the other drivers of the current market price of the option (including the risk-free rate of return) are known.


			4.

			Any other form of instability.

			For example, volatile bank deposits or other liabilities are more likely to be withdrawn under stress.


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	* [[Risk free rate of return]]		* [[Risk free rate of return]]
	* [[Sensitivity]]		* [[Sensitivity]]
			* [[Stability]]
	* [[Standard deviation]]		* [[Standard deviation]]
	* [[Underlying asset]]		* [[Underlying asset]]

imported>Doug Williamson: Layout.

2016-05-13T15:54:43Z

Layout.

← Older revision		Revision as of 15:54, 13 May 2016
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	In relation to options, volatility of the underlying asset price can be estimated:		In relation to options, volatility of the underlying asset price can be estimated:

	(i) From historical underlying asset price data, or		(i) From historical underlying asset price data, or <br>

	(ii) As implied volatility in the current market price of the option, if all of the other drivers of the current market price of the option (including the risk-free rate of return) are known.		(ii) As implied volatility in the current market price of the option, if all of the other drivers of the current market price of the option (including the risk-free rate of return) are known.