I am still not sure why Brenda Jubin’s Reading the Markets, remains criminally undiscovered, but for those who do not make visiting that blog a daily habit, I feel it my duty to draw attention to some of the excellent work she has been doing lately.
As far as I can tell, Brenda spends part of her free time reading every book ever written about investing and various tangential subjects. Even if this is only a slight exaggeration, her comprehensive review of the investment literature forms a sort of contemporaneous intellectual history of the markets – and for this reason makes it onto my daily reading list.
From time to time, the narrative at Reading the Markets veers in the direction of options and volatility. A particularly valuable contribution has been Brenda’s posting of her notes and graphics on a five-part lecture series given by Robert Engle in July 2007. One post is devoted to each lecture, with the links to her posts below:
Reading the Markets – Notes and Graphics:
- Part 1: Volatility
- Part 2: Time Varying Volatility
- Part 3: Estimating Risk
- Part 4: Long Run Risk
- Part 5: Global Financial Volatility
With a little sleuthing, however, I was able to find the video links to each of the five lectures and below I have captured the video and transcript in what I hope is a more useful format:
FT Business School – NYU Stern School (original content):
- Part 1: Volatility (video, transcript)
- Part 2: Time Varying Volatility (video, transcript)
- Part 3: Estimating Risk (video, transcript)
- Part 4: Long Run Risk (video, transcript)
- Part 5: Global Financial Volatility (video, transcript)
Also worth checking out is the NYU Stern Volatility Institute and its Volatility Laboratory.
- Robert Engle’s Volatility Laboratory
- What Is Historical Volatility?
- What Is High Implied Volatility?
- Thinking About Volatility (First in a Series)
- Ten Things Everyone Should Know About the VIX