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Implied Volatility Surface Simulatio...

Ma, Yi.

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Implied Volatility Surface Simulation with Tangent Levy Models.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Implied Volatility Surface Simulation with Tangent Levy Models./
Author:	Ma, Yi.
Description:	126 p.
Notes:	Source: Dissertation Abstracts International, Volume: 75-10(E), Section: A.
Contained By:	Dissertation Abstracts International75-10A(E).
Subject:	Economics, Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3626870
ISBN:	9781321019315

Implied Volatility Surface Simulation with Tangent Levy Models.
Ma, Yi.

Implied Volatility Surface Simulation with Tangent Levy Models. - 126 p.

Source: Dissertation Abstracts International, Volume: 75-10(E), Section: A.

Thesis (Ph.D.)--Princeton University, 2014.

This item must not be sold to any third party vendors.

With the recent developments of a liquid derivative market, as well as the demands for an improved risk management framework post the financial crisis, it is becoming increasingly important to consistently model the implied volatility dynamics of an asset. Many attempts have been made on this front, but few manage to exclude arbitrage opportunities with reasonable tractability.

ISBN: 9781321019315Subjects--Topical Terms:

626650
Economics, Finance.

Implied Volatility Surface Simulation with Tangent Levy Models.
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100 1 $a Ma, Yi. $3 1676095
245 1 0 $a Implied Volatility Surface Simulation with Tangent Levy Models.
300 $a 126 p.
500 $a Source: Dissertation Abstracts International, Volume: 75-10(E), Section: A.
500 $a Adviser: Rene Carmona.
502 $a Thesis (Ph.D.)--Princeton University, 2014.
506 $a This item must not be sold to any third party vendors.
520 $a With the recent developments of a liquid derivative market, as well as the demands for an improved risk management framework post the financial crisis, it is becoming increasingly important to consistently model the implied volatility dynamics of an asset. Many attempts have been made on this front, but few manage to exclude arbitrage opportunities with reasonable tractability.
520 $a In this thesis, we present two approaches based on tangent Levy models to achieve the task. One of the biggest advantages of tangent Levy models is that, by using the tangent process' jump density as the codebook to describe the option price dynamics, it enables an explicit expression of the no-arbitrage conditions, hence allows for tractable implementation.
520 $a Our first approach is based on the tangent Levy model with tangent processes being derived from the double exponential process. This approach is easy to implement given the small number of parameters and the availability of an analytical pricing formula. In the second approach, the tangent process takes only finitely many jump sizes. With this specification, the no-arbitrage conditions are simplified and the model offers more flexibility since a non-parametric calibration procedure is allowed. For both approaches, we illustrate in detail the calibration and simulation procedure.
520 $a We stress the benefits of our approaches in a portfolio optimization problem by comparing the performance against the SABR model. Our approaches produce scenarios that are more consistent with the real-world dynamics, and lead to more stationary and stable portfolio returns, hence are more desirable in practical risk management.
590 $a School code: 0181.
650 4 $a Economics, Finance. $3 626650
650 4 $a Mathematics. $3 515831
690 $a 0508
690 $a 0405
710 2 $a Princeton University. $b Operations Research and Financial Engineering. $3 2096743
773 0 $t Dissertation Abstracts International $g 75-10A(E).
790 $a 0181
791 $a Ph.D.
792 $a 2014
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3626870