Use this URL to cite or link to this record in EThOS:
Title: Volatility modelling in continuous time
Author: Zhao, Bo
Awarding Body: City University London
Current Institution: City, University of London
Date of Award: 2012
Availability of Full Text:
Access from EThOS:
Access from Institution:
With the introduction of variance swaps, the financial market has experienced an unprecedented trading, investing and hedging in volatilities. These tremendous market activities have led to a parallel systematic development of dynamic volatility modeling. Unlike the stock dynamics, the volatility dynamics are believed to have a meanreverting property. The mean-reverting process consists of two unique features: the equilibrium level and the speed of reversion. The unique mean-reverting feature puts volatilities into an interesing financial class that is worth exploring. The aim of the thesis is to examine the dynamics of volatility and to value volatility derivatives. A primary study is focused on the unification of three areas: variance swap term structures, stock derivatives, and volatility derivatives. It is intended as an attempt to bring together a term structure model, a volatility process and a return process in which they match stylized facts of financial markets and they are consistently reconciled to each other.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available
Keywords: HG Finance