Essays about: "rough volatility models"

Found 5 essays containing the words rough volatility models.

  1. 1. Option pricing with Quadratic Rough Heston Model

    University essay from Uppsala universitet/Sannolikhetsteori och kombinatorik

    Author : Marina Dushkina; [2023]
    Keywords : option pricing; rough volatility models; Heston model; Monte Carlo methods; calibration; quadratic rough Heston model; volatility smile;

    Abstract : In this thesis, we study the quadratic rough Heston model and the corresponding simulation methods. We calibrate the model using real-world market data. We compare and implement the three commonly used schemes (Hybrid, Multifactor, and Multifactor hybrid). We calibrate the model using real-world market SPX data. READ MORE

  3. 2. Financial Modelling Using Fractional Processes And The Wiener Chaos Expansion

    University essay from KTH/Matematik (Avd.)

    Author : Olof Hummelgren; [2022]
    Keywords : fractional Brownian motion; fBM; applied mathematics; Wiener chaos expansion; Wick product; Hurst parameter; fraktionell Brownsk rörelse; tillämpad matematik; Wiener kaosexpansion; Wickprodukt; Hurstparameter;

    Abstract : The aim of this thesis is to simulate stochastic models that are driven by a fractional Brownian motion process and to apply these methods to financial applications related to yield rate and asset price modelling. Several rough volatility processes are used to model the asset price and yield dynamics. READ MORE

  4. 3. Investigating the Statistical Properties of the Hurst Exponent Estimator of Rough Volatility Model

    University essay from Göteborgs universitet/Graduate School

    Author : Saeedeh Ostovari; [2021-06-30]
    Keywords : fractional Brownian motion; rough stochastic volatility models; circulant embedding method; fractionally integrated process; Realized volatility;

    Abstract : The aim of this thesis is to provide a characterization of the statistical properties of estimator of the Hurst parameter of the rough stochastic volatility model following fractional Brownian motion with Hurst index H. For this purpose, we perform a simulation experiment for fractional Brownian motion based on the circulant embedding method. READ MORE

  5. 4. Volatility forecasting on global stock market indices : Evaluation and comparison of GARCH-family models forecasting performance

    University essay from Umeå universitet/Nationalekonomi

    Author : Simon Molin; [2021]
    Keywords : ;

    Abstract : Volatility is arguably one of the most important measures in financial economics since it is often used as a rough measure of the total risk of financial assets. Many volatility models have been developed to model the process, where the GARCH-family models capture several characteristics that are observed in financial data. READ MORE

  6. 5. Volatility Forecasting Performance : An evaluation of GARCH-class models

    University essay from Umeå universitet/Nationalekonomi

    Author : Marcus Ryhage; [2021]
    Keywords : ;

    Abstract : Volatility is considered among the most vital concepts of the financial market and is frequently used as a rough measure of the total risk of financial assets. Volatility is however not directly observable in practice; it must be estimated. The procedure in estimating and modeling volatility can be performed in numerous ways. READ MORE