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Dissertations / Theses on the topic 'Implied volatilitie'

Author: Grafiati

Published: 9 March 2023

Last updated: 31 July 2025

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1

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.

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• Questa tesi include due saggi che sono dedicati allo studio delle serie temporali e del potere predittivo a livello di cross-section di un indice di spillover di volatilità di nuova concezione basato sulle volatilità implicite delle opzioni. Nel primo saggio, ci concentriamo sulla stima dell'indice e sulla valutazione se i (cambiamenti nell'indice) possono prevedere i rendimenti in eccesso delle serie temporali di (un insieme di) singoli titoli e dello S&P 500. Si confronta il potere predittivo in-sample e out-of-sample di questo indice con quello dell'indice di spillover di volatilità propo

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2

Varga, 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.

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This thesis aims to back-test the ability of implied volatility carry trade strategies to outperform the carry trade strategies in the FX markets. Recent research has shown that the profitability of the strategies is partly attributable to the market mispricings of the forward volatility agreements and a tendency of the forward implied volatility to overestimate the future spot implied volatility. This thesis uses a similar approach to construct portfolios containing 10 developed as well as 9 emerging market currencies. Our approach is based on the assumption that Uncovered Interest rate Parit

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3

Hanzal, 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.

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Implied volatility obtained from market option prices is widely regarded as an efficient predictor of future realised volatility. Implied volatility can be thought of as market's expectation of future realised volatility. We distinguish between volatility-changing events with respect to expectations - scheduled events (such as information releases) and unscheduled events. We propose a method of testing the information content of option-implied risk-neutral moments prior to volatility-changing events. Using the method introduced by Bakshi, Kapadia & Madan (2003) we extract implied volatility, s

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4

Brodd, 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.

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Options are an important part in today's financial market. It's therefore of high importance to be able to understand when options are overvalued and undervalued to get a lead on the market. To determine this, the relation between the volatility of the underlying asset, called realized volatility, and the market's expected volatility, called implied volatility, can be analyzed. In this thesis five models were investigated for modeling the relation between implied and realized volatility. The five models consisted of one Ornstein–Uhlenbeck model, two autoregressive models and two artificial neu

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5

Magnusson, Erik. "Implied Volatility Surface Construction." Thesis, Umeå universitet, Institutionen för fysik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-145894.

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Implied volatility surfaces are central tools used for pricing options. This thesis treats the topic of their construction. The main purpose is to uncover the most appropriate methodology for constructing implied volatility surfaces from discrete data and evaluate how well it performs. First some methods and techniques in use for such surface constructing are presented. Then the most attractive approach, chosen to contain 4 interesting models is studied. The models’ performances are tested on two price grids from the EURO STOXX 50 and Nikkei 225 indices. The found implied volatility surfaces g

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6

Wang, 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.

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7

Marçal, 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.

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Mestrado em Finanças<br>Eu analisei a reação da volatilidade implícita em opções do tipo europeu subjacentes a ações americanas num curto espaço de tempo antes e depois das divulgações de resultados trimestrais, de 2007 a 2016. Concluí que as empresas que apresentam resultados que não atingem as expetativas dos analistas têm uma menor redução de volatilidade implícita nas opções quando comparadas com empresas que apresentam resultados que atingem ou superam as expetativas dos analistas. Neste estudo encontrei também evidências de uma queda generalizada na volatilidade implícita nos três dias

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8

Roome, Patrick. "Asymptotics of forward implied volatility." Thesis, Imperial College London, 2016. http://hdl.handle.net/10044/1/30764.

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We study asymptotics of forward-start option prices and the forward implied volatility smile using the theory of sharp large deviations (and refinements). In Chapter 1 we give some intuition and insight into forward volatility and provide motivation for the study of forward smile asymptotics. We numerically analyse no-arbitrage bounds for the forward smile given calibration to the marginal distributions using (martingale) optimal transport theory. Furthermore, we derive several representations of forward-start option prices, analyse various measure-change symmetries and explore asymptotics of

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9

Fadone, Luca <1991&gt. "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.

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The aim of the work is to study volatility. It will consider the development of new models and methodologies for the measurement, forecasting and hedging the volatility risk. In particular, it will start from model-based approaches, then considering model-free approaches and volatility indexes. The focus of the work is on the CBOE VIX index, which provides an effective measure of the S&P500 implied volatility. As a further aim, we intend to study investment strategies involving derivatives based on the VIX index. These strategies are constructed both to hedge traditional portfolios and to spe

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10

Ye, 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.

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11

Cap, 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.

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In this thesis, we propose a new and simple approach of extending the single-factor Heston stochastic volatility model to a more flexible one in solving option pricing problems. In this approach, the volatility process for the underlying asset dynamics depends on the time to maturity of the option. As this idea is inspired by the Heath-Jarrow-Morton framework which models the evolution of the full dynamics of forward rate curves for various maturities, we name this approach as the HJM-type stochastic volatility (HJM-SV) model. We conduct an empirical analysis by calibrating this model to rea

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12

Jacquier, Antoine. "Implied volatility asymptotics under affine stochastic volatility models." Thesis, Imperial College London, 2010. http://hdl.handle.net/10044/1/6142.

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This thesis is concerned with the calibration of affine stochastic volatility models with jumps. This class of models encompasses most models used in practice and captures some of the common features of market data such as jumps and heavy tail distributions of returns. Two questions arise when one wants to calibrate such a model: (a) How to check its theoretical consistency with the relevant market characteristics? (b) How to calibrate it rigorously to market data, in particular to the so-called implied volatility, which is a normalised measure of option prices? These two questions form the ba

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13

Weiß, 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.

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14

Roper, Michael Paul Veran Mathematics &amp 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.

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This thesis investigates implied volatility in general classes of stock price models. To begin with, we take a very general view. We find that implied volatility is always, everywhere, and for every expiry well-defined only if the stock price is a non-negative martingale. We also derive sufficient and close to necessary conditions for an implied volatility surface to be free from static arbitrage. In this context, free from static arbitrage means that the call price surface generated by the implied volatility surface is free from static arbitrage. We also investigate the small time to expiry b

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15

Wickström, 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.

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16

Crawford, Danielle Ana. "Estimating Long Term Equity Implied Volatility." Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/31366.

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Estimating and extrapolating long term equity implied volatilities is of importance in the investment and insurance industry, where ’long term’ refers to periods of ten to thirty years. Market-consistent calibration is difficult to perform in the South African market due to lack of long term liquid tradable derivatives. In this case, practitioners have to estimate the implied volatility surface across a range of expiries and moneyness levels. A detailed evaluation is performed for different estimation techniques to assess the strengths and weaknesses of each of the models. The estimation techn

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17

Zhang, Jun. "Organization & Analysis of Stock Option Market Data." Digital WPI, 2011. https://digitalcommons.wpi.edu/etd-theses/34.

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Option market data are quoted in terms of option prices and are fragmented into over 100 individual contract files per day for each symbol. Traders and quantitative analysts compare values of options in terms of implied volatilities. The current project refactors fragmented option price data into implied volatility files organized by stock symbols and expiration dates. Each resulting file comprises the temporal evolution of daily volatility smile curves for every day prior to expiration. Possible analysis enabled by the refactored data is demonstrated.

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18

Kozyreva, 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.

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<p>Volatility forecast plays a central role in the financial decision making process. An intrinsic purpose of any investor is profit earning. For that purpose investors need to estimate the risk. One of the most efficient</p><p>methods to this end is the volatility estimation. In this theses I compare the CBOE Volatility Index, (VIX) with the actual volatility on an index at the Nordic Market. The actual volatility is defined as the one-day-ahead prediction as calculated by using the GARCH(1,1) model. By using the VIX model I performed consecutive predictions 30 days ahead between February the

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19

Guo, Zhi Jun Mathematics &amp 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.

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Under a class of one dimensional local volatility models, this thesis establishes closed form small time asymptotic formulae for the gradient of the implied volatility, whether or not the options are at the money, and for the at the money Hessian of the implied volatility. Along the way it also partially verifies the statement by Berestycki, Busca and Florent (2004) that the implied volatility admits higher order Taylor series expansions in time near expiry. Both as a prelude to the presentation of these main results and as a highlight of the importance of the no arbitrage condition, this thes

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20

Ahy, 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.

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Due to recent research disproving old claims in ﬁnancial mathematics such as constant volatility in option prices, new approaches have been incurred to analyze the implied volatility, namely stochastic volatility models. The use of stochastic volatility in option pricing is a relatively new and unexplored ﬁeld of research with a lot of unknowns, where new answers are of great interest to anyone practicing valuation of derivative instruments such as options. With both single and two-factor stochastic volatility models containing various correlation structures with respect to the asset price and

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21

Skoog, 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.

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22

Hafner, Reinhold. "Stochastic implied volatility : a factor-based model /." Berlin [u.a.] : Springer, 2004. http://www.loc.gov/catdir/enhancements/fy0813/2004109369-d.html.

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Häfner, Reinhold. "Stochastic implied volatility : a factor-based model /." Berlin ; New York : Springer, 2004. http://www.loc.gov/catdir/enhancements/fy0813/2004109369-d.html.

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24

Xiang, 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.

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Thesis (M.Phil.)--Hong Kong University of Science and Technology, 2004.<br>Includes bibliographical references (leaves 107-114). Also available in electronic version. Access restricted to campus users.

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25

Martini, Paolo. "Forward implied volatility expansions in LSV models." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2013. http://amslaurea.unibo.it/6343/.

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In this work we address the problem of finding formulas for efficient and reliable analytical approximation for the calculation of forward implied volatility in LSV models, a problem which is reduced to the calculation of option prices as an expansion of the price of the same financial asset in a Black-Scholes dynamic. Our approach involves an expansion of the differential operator, whose solution represents the price in local stochastic volatility dynamics. Further calculations then allow to obtain an expansion of the implied volatility without the aid of any special function or expensive fro

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26

CHAUDHARY, VISHAL. "DERIVATIVES RESEARCH PROJECT ON INDIAN STOCKS USING VOLATILITY SKEW STUDIES." Thesis, DELHI TECHNOLOGICAL UNIVERSITY, 2021. http://dspace.dtu.ac.in:8080/jspui/handle/repository/18396.

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Exploiting stock volatility of equity derivatives to form a right strategy was the objective of the internship at The Money Roller. Gathering historic data from the NSE’s website for 3 various stocks was the first step. Data was collected from the NSE indices for all the 3 firms which included their historic call and put options data for last 10 years. Then Implied Volatility (IV) for each underlying was calculated for each year separately. This is named as the Historic-IV which is further used to form a strategy. Different techniques were employed to exploit the IV and strategies were

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27

Luensmann, Claire. "Implied volatility spillover in agricultural and energy markets." Thesis, Kansas State University, 2014. http://hdl.handle.net/2097/17276.

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Master of Science<br>Department of Agricultural Economics<br>Ted C. Schroeder<br>In recent years, the agricultural markets have been subject to increased prices and unusual levels of elevated volatility. One likely driver of this is the mandated ethanol expansion in the Energy Policy Act of 2005. Previous research has identified relationships in market prices and variability between the energy and grain markets, but little has been done to evaluate volatility spillover across a broader spectrum of agricultural commodities. Additionally, few studies have assessed causal linkages across market i

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Vikberg, 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.

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The purpose of this thesis is to study if and how well implied volatility can predict realised volatility and returns on the OMXS30 index one month in the future. The findings are put in relation to how historical volatility can predict realised volatility and how changes in implied volatility can predict returns. The study covers the time period from 10th of May 2012 to 9th of February 2020 and the implied volatility used in the study is derived from an unweighted average of OMXS30 call and put option implied volatility. Six different OLS-regressions are performed to study the prediction capa

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Sharma, Namit. "Forecasting Oil Price Volatility." Thesis, Virginia Tech, 1998. http://hdl.handle.net/10919/36815.

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This study compares different methods of forecasting price volatility in the crude oil futures market using daily data for the period November 1986 through March 1997. It compares the forward-looking implied volatility measure with two backward-looking time-series measures based on past returns - a simple historical volatility estimator and a set of estimators based on the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) class of models. <p> Tests for the relative information content of implied volatilities vis-Ã -vis GARCH time series models are conducted within-sample by

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30

Nilsson, 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.

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The informational content of implied volatility and its prediction power is evaluated for time horizons of one month. The study covers the period of November 2007 to November 2013 for the two indices S&P500 and OMXS30. The findings are put in relation to the corresponding results for past realized volatility. We find results supporting that implied volatility is an efficient, although biased estimator of realized volatility. Our results support the common notion that implied volatility predicts realized volatility better than past realized volatility, and that it also subsumes most of the

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Musayev, 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.

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This thesis examines patterns in the FX returns and implied volatilities using daily return and implied volatility data for four major exchange rates for a period of January 1994 to December 2003. The existence of the patterns could indicate that the FX market is not efficient and could provide a basis for the construction of the trading strategies. Volatility tends to rise prior to the announcement of both scheduled and unscheduled news and fall on the announcement day. The "sign effect", indicated by the bad news having stronger impact on the volatility than good news, tends to weaken in pos

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Gustafsson, 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.

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<p>Problem: Investors are dependent on the issuers’ valuation of covered warrants because the issuers also act as market makers. Hence it is crucial that the issuers value each of the five variables used in the Black & Scholes pricing formula in the same way at both the buying and selling occasion. For a covered warrant investor the most important is-sue is the volatility and how it changes over time. This thesis will therefore search for differences in changes of implied volatility between the different issuers.</p><p>Purpose: The purpose of this thesis is to analyze differences and similarit

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Öhman, 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.

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In this thesis will the question of how to construct implied volatility surfaces in a robust and arbitrage free way be investigated. To be able to know if the solutions are arbitrage free was an initial investigation about arbitrage in volatility surfaces made. From this investigation where two comprehensive theorems found. These theorems came from Roper in \cite{Roper2010}. Based on these where then two applicable arbitrage tests created. These tests came to be very important tools in the remaining thesis.The most reasonable classes of models for modeling the implied volatility surface where

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Wang, 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.

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Implied volatility plays a very important role in financial sector. In the assets of trading market,everyone wants to know the implied volatility in the future. However,it is difficult to predict it. In this paper,we use a new well-posed algorithm to recover implied volatility under the Black-Scholes theoretical framework. I reproduce this algorithm at first,then prove its stability and give some examples to test. The results show that this algorithm can work and the error is small. We can use it inpractice.

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Babbar, 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.

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Aurell, 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.

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The SVI implied volatility model is a parametric model for stochastic implied volatility.The SVI is interesting because of the possibility to state explicit conditions on its parameters so that the model does not generate prices where static arbitrage opportunities can occur. Calibration of the SVI model to real market data requires non-linear optimization algorithms and can be quite time consuming. In recent years, methods to calibrate the SVI model that use its inherent structure to reduce the dimensions of the optimization problem have been invented in order to speed up the calibration. The

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Andersson, 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.

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In this thesis, we derive a closed-form approximation to the implied volatility for a European option, assuming that the underlying asset follows the generalized Heston model. A new para- meter is added to the Heston model which constructed the generalized Heston model. Based on the results in Lorig, Pagliarani and Pascucci [11], we obtain implied volatility expansions up to third-order. We conduct numerical studies to check the accuracy of our expansions. More specifically we compare the implied volatilities computed using our expansions to the results by Monte Carlo simulation method. Our nu

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Le, 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/.

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This research analyses the intraday implied volatility (IV) for pricing currency options. It conducts analyses in three steps. First, estimates at-the-money IV using the price of options with one-month, two-month, and three-month maturity during the opening, midday, and closing period of a trading day. Second, the Mincer-Zarnowitz regression test assessing the performance of IV to forecast the volatility of the underlying currency of options for the within-week, one-week, and one-month forecast horizon. Third, mean absolute error (MAE), mean squared error (MSE), and root mean squared error (RM

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ALFINITO, 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.

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Questo lavoro tratta il problema della stima e dell'interpretazione di volatilità e correlazione per la gestione del rishio di portafogli azionari. In un mercato efficiente, in cui tutte le informazioni rilevanti sono condivise dai partecipanti, i prezzi degli strumenti derivati sono in relazione biunivoca con le stime di consenso delle densità di probabilità dei sottostanti. La valutazione degli strumenti derivati è l'arte di rappresentare i rischi finanziari mediante prezzi. Al centro di questo lavoro è il “ritorno” dai prezzi alle probabilità. Nel primo capitolo viene presentata una metodol

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Belchior, 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.

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Mestrado em Finanças<br>O objetivo principal deste estudo é o de testar se a Volatilidade Implicita em instrumentos financeiros, nomeadamente Opções financeiras, é um estimador preciso da Volatilidade Futura. Os dados usados dizem respeito ao Índice Euro Stoxx 50, mais concretamente cotações de fecho e Volatilidade Implicita em opções ATM com um mês até à maturidade, o que permite conduzir uma análise ao mercado Europeu. A amostra selecionada cobre o periodo de Janeiro de 2002 a Abril de 2012. Os testes realizados permitiram-nos concluir que a Volatilidade Implicita pode ser considerada um est

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Coleman-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.

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Forecasts of volatility and correlation are important inputs into many practical financial problems. Broadly speaking, there are two ways of generating forecasts of these variables. Firstly, time-series models apply a statistical weighting scheme to historical measurements of the variable of interest. The alternative methodology extracts forecasts from the market traded value of option contracts. An efficient options market should be able to produce superior forecasts as it utilises a larger information set of not only historical information but also the market equilibrium expectation of op

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Joseph, 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.

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Gříšek, Lukáš. "Cena volatility finančních proměnných." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-113803.

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This diploma thesis describes problem of change-points in volatility of the time-series and their impact on price of nancial assets. Those change-points are estimated by using statistical methods and tests. Change-point estimation was tested on simulated datas and real world driven datas. Simulation helped to discover signi cant characteristics of change-point test, those data were simulated with using stochastic calculus. Google share prices and prices of call options were chosen to analyse impact of volatility change on those prices. Also implied volatility and its impact to call option pric

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Burnos, 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.

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To understand and model the dynamics of the implied volatility smile is essential for trading, pricing and risk management portfolio. We suggest a linear Kalman filter for updating of the Stochastic Volatility Inspired (SVI) model of the volatility. From a risk management perspective we generate the 1-day ahead forecast of profit and loss (P\&L) of option portfolios. We compare the estimation of the implied volatility using the SVI model with the cubic polynomial model. We find that the SVI Kalman filter has outperformed the others.

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Turkay, 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.

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Skiadopoulos, George. "Modelling the dynamics of implied volatility smiles and surfaces." Thesis, University of Warwick, 1999. http://wrap.warwick.ac.uk/65194/.

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"Smile-consistent" no-arbitrage stochastic volatility models take today's option prices as given, and they let them to evolve stochastically in such a way as to preclude arbitrage. This allows standard options to be priced correctly, and enables exotic options to be valued and hedged relative to them. We study how to model the dynamics of implied volatilities, since this is a necessary prerequisite for the implementation of these models. First, we investigate the number and shape of shocks that move implied volatility smiles, by applying Principal Components Analysis. The technique is applied

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FONSECA, 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.

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O presente trabalho busca explorar a previsibilidade na dinâmica temporal em modelos lineares de superfícies de volatilidade implícita estimados para opções de compra de ações brasileiras. Resultados de estudos anteriores, sob a abordagem usualmente empregada de estimação de modelos lineares em função do preço de exercício e do tempo até o vencimento a partir de dados de corte transversal sobre cada contrato disponível em dado instante, como Dumas, Fleming e Whaley (1998), revelam grande instabilidade nos coeficientes estimados ao longo do tempo. Por conseguinte, a incapacidade desta perspecti

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Pillay, Aveshen. "Extracting risk aversion estimates from option prices/implied volatility." Master's thesis, University of Cape Town, 2010. http://hdl.handle.net/11427/11350.

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The risk neutral density function is the distribution implied by the market price of derivative securities, namely options. It encloses the assumption that arbi-trage free conditions persist in the market. Given the historical evolution of stock prices, an investor will form some belief about the future progression of the stock price.

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Zhu, Anyi. "Implied Volatility Modelling." Thesis, 2013. http://hdl.handle.net/10012/8126.

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We propose extensions on calibrating the volatility surface through multi-factor regression models. The proposed models are back-tested against the historical S&P 500 prices during both the volatile and non-volatile periods (as indicated by the VIX index around the same period) and the relevant statistics (adjusted R2-statistics and root-mean-squared-error (RMSE) statistics) are used to assess the ts of the models. Furthermore,both the equal-weighted method and an alternative method by using observed implied volatilities as the weight are deployed and the results produced by the two methods a

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Chiu, Hsin-i., and 邱馨儀. "Local Volatility Forecasts from Implied Volatility Surfaces." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/00708201689633290780.

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碩士<br>國立成功大學<br>財務金融研究所<br>95<br>The major objective of this paper is to investigate the predictive ability of the one-factor stochastic volatility model by extracting helpful information from the implied volatility surface. This model is compared to the GARCH (1, 1) model with respect to forecasting future realized volatility of the underlying asset. We construct the one-factor stochastic volatility model consistent with the theory of implied tree models, which are suggested by Rubinstein (1994), Dupire (1994) and Derman and Kani (1994), and apply the transformation by Kreisler (1998), in whi

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