Essays about: "Stochastic Volatility Inspired"
Found 4 essays containing the words Stochastic Volatility Inspired.
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1. Implied volatility with HJM–type Stochastic Volatility model
University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikationAbstract : 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. READ MORE
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2. The Calibrated SSVI Method - Implied Volatility Surface Construction
University essay from KTH/Matematisk statistikAbstract : 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
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3. Model risk quantification in option pricing
University essay from Lunds universitet/Matematisk statistikAbstract : This thesis investigates a methodology for quantification of model risk in option pricing. A set of different pricing models is specified and each model is assigned a probability weight based on the Akaike Information Criteria. It is then possible to obtain a price distribution of an exotic derivative from these probability weights. READ MORE
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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)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