Dissertation > Excellent graduate degree dissertation topics show

The Semiparametric Fitting for the Implied Volatility Surface

Author: ZengKai
Tutor: WuChuanSheng
School: Wuhan University of Technology
Course: Applied Mathematics
Keywords: Implied Volatility Surface Semiparametric factor Principal component analysis of the functional Additional model
CLC: F830.9
Type: Master's thesis
Year: 2010
Downloads: 47
Quote: 1
Read: Download Dissertation

Abstract


With the development of financial markets, financial derivatives, including futures, options also experienced rapid development, trading volume continues to rise. How options pricing is a major issue before the people. In 1973, financial experts Black and Scholes, Merton basis of theoretical research in this area draw is now known as the first revolution of the financial option pricing formula (Black-Scholes formula). Options trading and financial risk management, it is more concerned about the volatility of the performance, and obviously the BS equation is the assumption of constant volatility is unreasonable. Relatively accurate volatility is very necessary. Initial implied volatility, the volatility seen as the implementation of the price or the duration of functions of one variable, which ignores both the overall impact of the implied volatility. Implied volatility as the execution price and duration to determine the function of a binary, implied volatility in the overall modeling predicted a relatively precise value is a very meaningful direction. In this paper, we propose a new method of modeling the implied volatility surface - semiparametric factor model, it is a semi-parametric model with time-varying coefficients, the new model is well established processing implied volatility rate structure of the data is very decentralized data string. Functional characteristics on the processing of the data, based on the implied volatility function of principal component analysis, the implied volatility surface approximation in finite dimensional function space, in the neighborhood of the point of the design data fitting data reached the implied volatility surface of dimensionality reduction. However, this may lead to serious deviation of the model, Implied Volatility Surface approximation in finite dimensional function space, in the neighborhood of the point of the design data fitting data to solve this problem, which is in fact the overall use of the function type principal component analysis methods and additional model backfiting. Finally, the introduction of the implied volatility data from 1998 to May 2001, the DAX index implied volatility of daily data, simple data processing, fitting and programming. By comparison with the baseline model, we found that the intrinsic value of the model relative to the viscous semiparametric factor model we build a better forecast performance. There are two aspects of innovation of this paper proposed a new model, the implied volatility modeling which implied volatility forecasts performance have substantially improve the played a key role; specific empirical analysis of the integrated use of the method used by the previous implied volatility modeling has been some improvement in the complexity and accuracy of the data processing. In the full text of the summary, the implied volatility forecast further research directions.

Related Dissertations

  1. Research of Dynamic Implied Volatility Models Based on Hong Kong Market,F832.51
  2. Modeling, Computing Methods of Implied Volatility and Its Application,F830.7
  3. Research on Telecom Demand Forecast Model Based on Functional Data Analysis,F224
  4. Research on Commercial Bank Credit Risk Control Based on CSFB Credit Risk Plus Model,F224
  5. Functional Data Analysis Method and Its Application,O212.1
  6. Functional Data Analysis on Implied Volatility,F830.91
  7. Risk Measurement and Optimal Steategy Selection of Portfolio Based on SV Model and COPULA,F830.59
  8. Analysis of Lookback Option in CEV Modified Model,F830.9
  9. Pricing Discrete Double-barrier Option under a Hyper-exponential Jump-diffusion Model,F830.9
  10. The Properties Study in Multifractal Process,F830.91
  11. A Note on Portfolio Efficient Frontier Based on GEV under Various Risk Measures,F830.59
  12. Risk Preference-Based Option Pricing in a Fractional Brownian Motion Environment,F830.9
  13. Research and Application of Option Pricing under Stochastic Interest Rate,F830.91
  14. The Role and Impact of Accounting Standards on the Practices of Islamic Banking System in Sudan,F830.42
  15. Research on the Assessment of Stock Value and the Fair Value Based on the Perspective of Behavioral Finance,F830.91
  16. The Study of Accounting Internal Control in the Agricultural Bank of China Heilongjiang Branch,F830.42
  17. A Comparison among Measuring Methods of Financial Market Risks and an Envision of New Frame,F830.9
  18. The Pricing of Derivative Ecurities under Fractal Market,F830.91
  19. Research in Traders’ Personal Learning Mechanism in ASM,F830.91
  20. Simulation and Study on Trading Strategies in Stock Market,F830.91

CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Financial market
© 2012 www.DissertationTopic.Net  Mobile