Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 20 of 22 for “"Stochastic volatility model"”.
-
The Lifted Heston Stochastic Volatility Model
Can we capture the explosive nature of volatility skew observed in the market, without resorting to non-Markovian models? We show that, in terms of skew, the Heston model cannot match the market at both long and short maturities simultaneously. We introduce Abi Jaber (2019)'s Lifted Heston model …
-
Analytical Solutions of the SABR Stochastic Volatility Model
… studies a mathematical problem that arises in modeling the prices of option contracts in an important part of global financial markets, the fixed income option market. Option contracts, among other derivatives, serve an important function of transferring and managing financial risks in today's …
-
Long-memory stochastic volatility model calibration using deep neural nets
Widespread use of stochastic volatility models in the financial industry is bottlenecked by the complexity and intractability they present. Since the seminal work in quantitative finance by Black et al. and Merton, the infamous Black-Scholes model has been extensively used in the industry for …
-
Optimal choices: mean field games with controlled jumps and optimality in a stochastic volatility model
… of players tends to infinity, of nonzero-sum stochastic differential games. Under the assumption that the former admit a regular Markovian solution, an approximate Nash equilibrium for the corresponding n-player games is constructed, and the rate of convergence is provided. Finally, the …
-
Finite activity jump models for option pricing
… options and Barrier options under the Heston stochastic volatility model and the Bates model. Bates model combines Merton's jump diffusion model and Heston's stochastic volatility model. We look at the calibration problem and use Matlab functions to model the DAX options volatility surface. …
-
Essays on corporate bonds
… first chapter, I test the ability of structural models of default to price corporate bonds in the cross-section. I find that the Black-Cox model can explain 45% of the cross-sectional variation in yield spreads. The unexplained portion is correlated with proxies for credit risk and thus, cannot …
-
Volatility derivatives in the Heston framework
A volatility derivative is a financial contract where the payoff depends on the realized variance of a specified asset's returns. As volatility is in reality a stochastic variable, not deterministic as assumed in the Black-Scholes model, market participants may surely find volatility derivatives to …
-
Density Estimation for Robust Financial Econometrics
… smoothed density estimates: the simulated model density and corresponding observed density. This approach generalizes work of Beran (1977) and Basu and Lindsay (1994) so that dependent data and simulated model densities are allowed, enabling the estimation without simple analytical …
-
Two dimensional COS method for pricing early-exercise and discrete barrier options under the Heston Model
… barrier options under the dynamics of the Heston stochastic volatility model. The two-dimensional nature of the Heston model makes the pricing of these options problematic, as the risk-neutral expectations need to be calculated at each exercise/observation date along a continuum of the two state …
-
Latent State and Parameter Estimation of Stochastic Volatility/Jump Models via Particle Filtering
Particle filtering in stochastic volatility/jump models has gained significant attention in the last decade, with many distinguished researchers adding their contributions to this new field. Golightly (2009), Carvalho et al. (2010), Johannes et al. (2009) and Aihara et al. (2008) all attempt to …
-
Parameter learning with particle filters
Common applications of asset-pricing models in practice rely on recalibrating model parameters periodically for effective risk management. Yet, these model parameters are often assumed to be constant over time, thereby countering the notion of readjusting these values. A possible solution to this …
-
Accurate portfolio risk-return structure modelling
… which is constantly pushing the development on volatility models. Particularly, the stochastic volatility model which reveals the dynamics of conditional volatility. Financial time series and volatility models has become one of the hot spots in operations research. In this thesis, one of the …
-
Variable Annuity -- Laps Behavior
… a comprehensive exploration of mathematical models for Variable Annuities (VAs), focusing on the dynamics of policyholder behavior and the implications for pricing and risk management. VAs are complex financial instruments offering various guarantees, such as minimum death and living …
-
Accelerated Adjoint Algorithmic Differentiation with Applications in Finance
… environment. Assets are driven by the Heston stochastic volatility model and implemented using the Milstein discretisation scheme with truncation. The price is calculated along with Deltas and Vegas for each asset, at a total of 6 sensitivities. The application achieves favourable levels of …
-
Calibrating the Hurst Parameter for Rough Volatility Models with Application in the South African Market
… and efficient calibration of any fractional stochastic volatility model is important for trading and risk management purposes. Under the rough Heston model proposed by El Euch et al. (2019), the Hurst parameter governs the roughness of the volatility process. This dissertation explores the …
-
Essays on financial economics
… in 2004, it chose Heston's (1993) "square root" stochastic volatility model to price them on days when there was no trading. I investigate whether Heston's model is a good specification for the IPC and whether more elaborate models produce significantly different option prices. To do so, I use an …
-
Stochastic Volatility with Levy Processes: Calibration and Pricing
In this thesis, stochastic volatility models with Levy processes are treated in parameter calibration by the Carr-Madan fast Fourier transform (FFT) method and pricing through the partial integro-differential equation (PIDE) approach. First, different models where the underlying log stock price or …
-
Essays on Measuring Monetary Policy Uncertainty and Forecasting Business Cycle
… can be applied to many flexible state space models such as non-linear, non-Gaussian, stochastic volatility models or stochastic volatility models with zero lower bound. These models have become increasingly popular in macro-economics and finance. The stochastic volatility model with zero …
-
Essays on commodity investing and volatility risk
… investigate issues in commodity investing and volatility risk in commodity futures markets. The first essay evaluates the usefulness of commodities in a portfolio by examining multiple commodity instrument tools and by controlling for estimation error. Using data from three generations of …
-
Fractional stochastic volatility models: approximation, calibration and hedging
The area of modeling stochastic volatility using continuous time models has a long history and is always an interesting and vibrant area in financial mathematics, where the dynamic of the asset is a diffusion driven by Brownian motion and the dynamic of the volatility is associated with a diffusion …
Page 1 of 2