Sökning: "Implied Volatility Surfaces"

Visar resultat 1 - 5 av 9 uppsatser innehållade orden Implied Volatility Surfaces.

1. 1. Time Dependencies Between Equity Options Implied Volatility Surfaces and Stock Loans, A Forecast Analysis with Recurrent Neural Networks and Multivariate Time Series

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Simon Wahlberg; [2022]
   Nyckelord :RNN; LSTM; GRU; vector autoregression; implied volatility surface; stock loan; equity options; multivariate time-series analysis; financial mathematics.; Rekursiva neurala nätverk; LSTM; GRU; VAR; implicerade volatilitetsytor; aktielån; aktieoptioner; multidimensionell tidsserieanalys; finansiell matematik.;

   Sammanfattning : Synthetic short positions constructed by equity options and stock loan short sells are linked by arbitrage. This thesis analyses the link by considering the implied volatility surface (IVS) at 80%, 100%, and 120% moneyness, and stock loan variables such as benchmark rate (rt), utilization, short interest, and transaction trends to inspect time-dependent structures between the two assets. LÄS MER

3. 2. Machine Learning Based Intraday Calibration of End of Day Implied Volatility Surfaces

   Master-uppsats, KTH/Matematisk statistik

   Författare :Christopher Herron; André Zachrisson; [2020]
   Nyckelord :Applied Mathematics; Machine Learning; Statistics; Gaussian Process; Neural Network; Options; Volatility; Implied Volatility Surface; Black Scholes; Tillämpad matematik; Maskininlärning; Statistik; Gaussisk Process; Neurala Nätverk; Optioner; Volatilitet; Implicit Volatilitetsyta; Black Scholes;

   Sammanfattning : The implied volatility surface plays an important role for Front office and Risk Management functions at Nasdaq and other financial institutions which require mark-to-market of derivative books intraday in order to properly value their instruments and measure risk in trading activities. Based on the aforementioned business needs, being able to calibrate an end of day implied volatility surface based on new market information is a sought after trait. LÄS MER

4. 3. Intraday Volatility Surface Calibration

   Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik

   Författare :Tobias Blomé; Adam Törnqvist; [2020]
   Nyckelord :;

   Sammanfattning : On the financial markets, investors search to achieve their economical goals while simultaneously being exposed to minimal risk. Volatility surfaces are used for estimating options' implied volatilities and corresponding option prices, which are used for various risk calculations. LÄS MER

5. 4. Testing Extended Rules of Thumb for the Dynamics of Volatility Surfaces

   Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Joar Mellström; [2019]
   Nyckelord :Volatility Surface; Implied Volatility; Rules of Thumb; NoArbitrage Condition; Index Options; Business and Economics;

   Sammanfattning : It is a common practise to quote option prices using their BlackScholes implied volatility. A volatility surface describes an options implied volatility as a function of the strike price and time to maturity. It can be used as a tool for hedging but also valuation when prices are not directly observable. LÄS MER

7. 5. The Calibrated SSVI Method - Implied Volatility Surface Construction

   Master-uppsats, KTH/Matematisk statistik

   Författare :Adam Öhman; [2019]
   Nyckelord :Implied; Volatility; Surface; Construction; SVI; SSVI; eSSVI; Stochastic Volatility Inspired; calibrated SSVI; modelling; arbitrage; interpolation; extrapolation; FHS VaR; derivatives; CCP; clearing; Implicit; Volatilitet; Ytor; Option; SVI; SSVI; eSSVI; kalibrerade SSVI; arbitrage; modellering; finans; matematik;

   Sammanfattning : 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. LÄS MER