Making cents of yesterday, today and tomorrow : trading rules for volatility arbitrage

This study is intended to be a rigorous examination of a valid and attractive practical problem in financial mathematics in the real world rather than a theoretical contribution. It has foci in statistical modelling of derivative (Black-Scholes) mechanics. The impetus for this research was initially gleaned while working with an active South African derivatives brokerage house (Cadiz Holdings) as an intern. It was immediately evident that there was a pressing need for an investigation into volatility trading rules to recommend trades (from the sell-side brokers) as well as to trigger trades (from the institutional investors point of view). The rules that both parties typically used appeared too simple to be useful or profitable.

Grantor dc:publisher.institution

Department of Mathematics and Applied Mathematics

Year dc:date.issued

2003

Author dc:creator

• De Araujo, Mark

Advisor dc:contributor.advisor

• Polakow, Daniel

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/4878

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/4878