Forward implied volatility, Dissertation

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We look at the pricing of structures that depend on forward volatility, such as globally floored cliquets. We start off by analysing market standard models, which prescribe the dynamics of volatility as either deterministic or instantaneous. We then move onto to analysing 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


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