previous up next SYLLABUS  Previous: 1.4 Modern portfolio theory  Up: 1 INTRODUCTION  Next: 1.5.1 Drift and volatility

1.5 Historical data and modeling

Having loosely introduced the volatility s   as a measure of the investment risk, it is time now to develop an intuition for this important quantity and show how the drift and the volatility of a spot price may be calculated as averages from historical data from the markets.


back up next contents bibliography Copyright © Lifelong-learners at 05:00:57, March 18th, 2018