[Blueboard] Invitation

cka at mathsci.math.admu.edu.ph cka at mathsci.math.admu.edu.ph
Wed Mar 5 10:51:36 PHT 2008


Ateneo de Manila University
MATHEMATICS DEPARTMENT


M AMF STUDENT PRESENTATION


on 

March 7, 2008 (Friday)

2:30 – 3:30 p.m.

Science Education Complex (SEC)
SEC A303A


ARCH-type Modeling
An Enhanced Approach to Volatility Forecasting
   


Volatility, a measure for the uncertainty about the returns of asset prices, is
one of the major problems faced by financial institutions today. Measuring it is
very crucial especially for risk managers who base their trading strategies on
volatility since a miscalculation incurs major losses for the institution that
may eventually lead to bankruptcy. Thus, a good and reliable model that can
accurately capture volatility and at the same time be able to forecast
tomorrow’s volatility is very much needed.

In this regard, a group of young mathematicians of the Ateneo de Manila
University has attempted to address this major concern in the industry by
presenting an enhanced approach to volatility forecasting. They have produced
substantial results regarding the current trends and procedures in monitoring
bond price volatility.
   



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