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Title: Modeling of volatility-linked financial products
Author: Torricelli, L.
ISNI:       0000 0004 8503 6263
Awarding Body: UCL (University College London)
Current Institution: University College London (University of London)
Date of Award: 2016
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This thesis is the collation of four papers, adapted from their original versions as to form here four distinct chapters. In the first chapter we illustrate and solve the pricing problem of a target volatility option (TVO) using three different methodologies. In the second chapter we study the pricing PDE for a general contingent claim involving an asset and its realized volatility, and then solve it for a variety of actual models and payoffs. The third chapter introduces a class of time-changed stochastic processes based on which a martingale asset price evolution can be devised. Pricing equations for volatility-linked derivatives are also obtained in this framework. In the final chapter we analyze one specific model of this class; we conclude that it does show high flexibility in explaining the forward volatility skew dynamics and that it can capture certain interesting stylized facts.
Supervisor: Shaw, W. T. Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available