Dissertation on forward implied volatility

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Reference no: EM134830 , Length: 60

Dissertation writing help - Forward Implied Volatility

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We look at the pricing of structures that depend on forward volatility, such as globally floored cliquets. We start o by analyzing market standard models, which prescribe the dynamics of volatility as either deterministic or instantaneous. We then move onto to analyzing the Discrete Stochastic Implied Volatility (DSIV) model. This model specifies the dynamics of forward implied volatility directly at discrete times and as a result has more realism of and control over the dynamics. For each of these models we explore in detail the implied forward volatility dynamics and how to price exotic cliquet options. We then compare these prices against Totem marks, which represent actual market price information.

Reference no: EM134830

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Dissertation on forward implied volatility : The pricing of structures that depend on forward volatility, such as globally floored cliquets. We start o by analyzing market standard models, which prescribe the dynamics of volatility as either deterministic or instantaneous.
Performance of robust model-free hedging : The performance of robust model-free hedging via Skorokhod embeddings of digital double barrier options against that of traditional hedging methods such as delta and vega/ delta hedging.
On the dynamical risk properties of a bond portfolio : In this report, the single-asset basis risk model is extended to a multi-asset version where multiple traded assets are used to price and hedge a derivative on a non-traded asset.
Multi-asset utility-based pricing and hedging of derivatives : In this report, the single-asset basis risk model is extended to a multi-asset version where multiple traded assets are used to price and hedge a derivative on a non-traded asset.
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