Volatilité et Risques Financiers

Master Degree PST in Marseille.
Comments and new ideas welcome.

These lecture notes are given without any guaranty. There are for sure a lot of  errors and approximations as they are a first draft
Most of the notes are in French, but the last part of Chapter 3 is in English

           Lecture 1 : Introduction to volatility measurement (pdf)

           Lecture 2 :Modelling volatility using MIDAS models (pdf)

           Lecture 3 : GARCH and option pricing (pdf)

           Lecture 4 : Value at Risk (pdf)

Be careful that the pdf file are regularly updated while the lectures are delivered. Material and exercices can be added.