Essays about: "SVI model"

Found 4 essays containing the words SVI model.

  1. 1. The Calibrated SSVI Method - Implied Volatility Surface Construction

    University essay from KTH/Matematisk statistik

    Author : Adam Öhman; [2019]
    Keywords : Implied; Volatility; Surface; Construction; SVI; SSVI; eSSVI; Stochastic Volatility Inspired; calibrated SSVI; modelling; arbitrage; interpolation; extrapolation; FHS VaR; derivatives; CCP; clearing; Implicit; Volatilitet; Ytor; Option; SVI; SSVI; eSSVI; kalibrerade SSVI; arbitrage; modellering; finans; matematik;

    Abstract : 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. READ MORE

  3. 2. Comparative Analysis of Social Vulnerability Indices: CDC’s SVI and SoVI®

    University essay from Lunds universitet/Avdelningen för Riskhantering och Samhällssäkerhet

    Author : Hannah Andrea Tarling; [2017]
    Keywords : social vulnerability index; Social vulnerability; indices; SoVI®; CDC SVI; social vulnerability in San Francisco; California; comparative analysis; Social Sciences;

    Abstract : As interest in social vulnerability to hazards grows, more indices are formulated for identifying and mapping population groups that may experience differential consequences from natural hazards. However, less attention has been given to the underlying choices researchers make when creating these indices. READ MORE

  4. 3. The SVI implied volatility model and its calibration

    University essay from KTH/Matematisk statistik

    Author : Alexander Aurell; [2014]
    Keywords : ;

    Abstract : 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. READ MORE

  5. 4. SVI estimation of the implied volatility by Kalman filter.

    University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE); Tillämpad matematik och fysik (MPE-lab)

    Author : Sergey Burnos; ChaSing Ngow; [2010]
    Keywords : Kalman filter; SVI model; implied volatility;

    Abstract : 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. READ MORE