Dissertations / Theses on the topic 'Implied volatilitie'
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PEDIO, MANUELA. "Essays on the Time Series and Cross-Sectional Predictive Power of Network-Based Volatility Spillover Measures." Doctoral thesis, Università degli Studi di Milano-Bicocca, 2021. http://hdl.handle.net/10281/305198.
Full textVarga, Lukáš. "Effect of Implied Volatility on FX Carry Trade." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-113592.
Full textHanzal, Martin. "Implikovaná volatilita a vyšší momenty rizikově neutrálního rozdělení jako předstihové indikátory realizované volatility." Master's thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-358955.
Full textBrodd, Tobias. "Modeling the Relation Between Implied and Realized Volatility." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-273609.
Full textMagnusson, Erik. "Implied Volatility Surface Construction." Thesis, Umeå universitet, Institutionen för fysik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-145894.
Full textWang, Guan Jun. "Essays on option-implied volatility." Related electronic resource:, 2007. http://proquest.umi.com/pqdweb?did=1407687881&sid=1&Fmt=2&clientId=3739&RQT=309&VName=PQD.
Full textMarçal, Filipe Miguel Barbosa. "Earnings announcements and implied volatility." Master's thesis, Instituto Superior de Economia e Gestão, 2018. http://hdl.handle.net/10400.5/16739.
Full textRoome, Patrick. "Asymptotics of forward implied volatility." Thesis, Imperial College London, 2016. http://hdl.handle.net/10044/1/30764.
Full textYe, Hui. "A Comparison of Local Volatility and Implied Volatility." Thesis, Uppsala universitet, Analys och tillämpad matematik, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-154745.
Full textCap, Thi Diu. "Implied volatility with HJM–type Stochastic Volatility model." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-54938.
Full textJacquier, Antoine. "Implied volatility asymptotics under affine stochastic volatility models." Thesis, Imperial College London, 2010. http://hdl.handle.net/10044/1/6142.
Full textFadone, Luca <1991>. "From model-based to model-free implied volatilities: the VIX index and the new volatility derivatives." Master's Degree Thesis, Università Ca' Foscari Venezia, 2017. http://hdl.handle.net/10579/10115.
Full textWeiß, Harald [Verfasser], and Gerhard [Akademischer Betreuer] Wagenhals. "Forecasting DAX Volatility: A Comparison of Time Series Models and Implied Volatilities / Harald Weiß ; Betreuer: Gerhard Wagenhals." Hohenheim : Kommunikations-, Informations- und Medienzentrum der Universität Hohenheim, 2017. http://d-nb.info/1124051759/34.
Full textRoper, Michael Paul Veran Mathematics & Statistics Faculty of Science UNSW. "Implied volatility: general properties and asymptotics." Awarded By:University of New South Wales. Mathematics & Statistics, 2009. http://handle.unsw.edu.au/1959.4/44519.
Full textWickström, Simon. "Jump-Diffusion Models and Implied Volatility." Thesis, Uppsala universitet, Analys och sannolikhetsteori, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-242054.
Full textCrawford, Danielle Ana. "Estimating Long Term Equity Implied Volatility." Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/31366.
Full textZhang, Jun. "Organization & Analysis of Stock Option Market Data." Digital WPI, 2011. https://digitalcommons.wpi.edu/etd-theses/34.
Full textKozyreva, Maria. "How reliable is implied volatility A comparison between implied and actual volatility on an index at the Nordic Market." Thesis, Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-1635.
Full textGuo, Zhi Jun Mathematics & Statistics Faculty of Science UNSW. "Small time asymptotics of implied volatility under local volatility models." Publisher:University of New South Wales. Mathematics & Statistics, 2009. http://handle.unsw.edu.au/1959.4/43746.
Full textAhy, Nathaniel, and Mikael Sierra. "Implied Volatility Surface Approximation under a Two-Factor Stochastic Volatility Model." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-40039.
Full textSkoog, Daniel. "Jump processes and the implied volatility curve." Thesis, Uppsala University, Department of Mathematics, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-120040.
Full textHafner, Reinhold. "Stochastic implied volatility : a factor-based model /." Berlin [u.a.] : Springer, 2004. http://www.loc.gov/catdir/enhancements/fy0813/2004109369-d.html.
Full textHäfner, Reinhold. "Stochastic implied volatility : a factor-based model /." Berlin ; New York : Springer, 2004. http://www.loc.gov/catdir/enhancements/fy0813/2004109369-d.html.
Full textXiang, Yi. "Implied volatility smirk and non-parametric calibration /." View abstract or full-text, 2004. http://library.ust.hk/cgi/db/thesis.pl?MATH%202004%20XIANG.
Full textMartini, Paolo. "Forward implied volatility expansions in LSV models." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2013. http://amslaurea.unibo.it/6343/.
Full textVikberg, Sara, and Julia Björkman. "How Well Does Implied Volatility Predict Future Stock Index Returns and Volatility? : A Study of Option-Implied Volatility Derived from OMXS30 Index Options." Thesis, Stockholms universitet, Företagsekonomiska institutionen, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-187552.
Full textLuensmann, Claire. "Implied volatility spillover in agricultural and energy markets." Thesis, Kansas State University, 2014. http://hdl.handle.net/2097/17276.
Full textSharma, Namit. "Forecasting Oil Price Volatility." Thesis, Virginia Tech, 1998. http://hdl.handle.net/10919/36815.
Full textNilsson, Oscar, and Okumu Emmanuel Latim. "Does Implied Volatility Predict Realized Volatility? : An Examination of Market Expectations." Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-218792.
Full textMusayev, Taleh. "Anomalies in the foreign exchange returns and implied volatilities." Thesis, University of Strathclyde, 2009. http://oleg.lib.strath.ac.uk:80/R/?func=dbin-jump-full&object_id=22008.
Full textGustafsson, Lars, and Marcus Lindberg. "Covered Warrants : How the Implied Volatility Changes Over Time." Thesis, Jönköping University, JIBS, Business Administration, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-260.
Full textWang, Yan. "A Well-Posed Algorithm to Recover Implied Volatility." Thesis, Uppsala universitet, Institutionen för informationsteknologi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-169441.
Full textBabbar, Katia Amrit. "Aspects of stochastic implied volatility in financial markets." Thesis, Imperial College London, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.274925.
Full textAurell, Alexander. "The SVI implied volatility model and its calibration." Thesis, KTH, Matematisk statistik, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-150575.
Full textAndersson, Hanna, and Ying Wang. "Implied volatility expansion under the generalized Heston model." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-48363.
Full textLe, Thi Ngoc Quynh. "Analysing intraday implied volatility for pricing currency options." Thesis, Le, Thi Ngoc Quynh (2020) Analysing intraday implied volatility for pricing currency options. PhD thesis, Murdoch University, 2020. https://researchrepository.murdoch.edu.au/id/eprint/56979/.
Full textÖhman, Adam. "The Calibrated SSVI Method - Implied Volatility Surface Construction." Thesis, KTH, Matematisk statistik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-257501.
Full textALFINITO, GIULIO. "Interpreting the volatility surface: tools for pricing and risk management." Doctoral thesis, Università degli Studi di Roma "Tor Vergata", 2008. http://hdl.handle.net/2108/652.
Full textBelchior, Diogo Francisco Ferreira. "Implied volatility as a forecast for future volatility : evidence from european market." Master's thesis, Instituto Superior de Economia e Gestão, 2012. http://hdl.handle.net/10400.5/10866.
Full textColeman-Fenn, Christopher Andrew. "Forecasting volatility and correlation : the role of option implied measures." Thesis, Queensland University of Technology, 2012. https://eprints.qut.edu.au/53138/1/Christopher_Coleman-Fenn_Thesis.pdf.
Full textJoseph, Charles. "Multiscale modeling and analysis of option markets." Case Western Reserve University School of Graduate Studies / OhioLINK, 2014. http://rave.ohiolink.edu/etdc/view?acc_num=case1396626935.
Full textBurnos, Sergey, and ChaSing Ngow. "SVI estimation of the implied volatility by Kalman filter." Thesis, Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE), 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-13949.
Full textTurkay, Saygun. "Market model of stochastic implied volatility and correlation stress." Thesis, Imperial College London, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.405832.
Full textSkiadopoulos, George. "Modelling the dynamics of implied volatility smiles and surfaces." Thesis, University of Warwick, 1999. http://wrap.warwick.ac.uk/65194/.
Full textFONSECA, DIEGO AGUIAR. "PREDICABILITY DINAMICS IN BRAZILIAN CALL OPTIONS IMPLIED VOLATILITY SURFACES." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2013. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=34665@1.
Full textANSELMI, GIULIO. "ESSAYS ON OPTION IMPLIED VOLATILITY RISK MEASURES FOR BANKS." Doctoral thesis, Università Cattolica del Sacro Cuore, 2016. http://hdl.handle.net/10280/10402.
Full textPillay, Aveshen. "Extracting risk aversion estimates from option prices/implied volatility." Master's thesis, University of Cape Town, 2010. http://hdl.handle.net/11427/11350.
Full textZhu, Anyi. "Implied Volatility Modelling." Thesis, 2013. http://hdl.handle.net/10012/8126.
Full textChiu, Hsin-i., and 邱馨儀. "Local Volatility Forecasts from Implied Volatility Surfaces." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/00708201689633290780.
Full textSchnellen, Marina. "Analysis of Implied Volatility Surfaces." Doctoral thesis, 2007. http://hdl.handle.net/11858/00-1735-0000-000D-F225-7.
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