Uncertain Volatility

• Номер работы:
  381837
• Раздел:
  Все работы   →   Рефераты и реферативные задания   →   Английский язык
• Год подготовки:
  08.01.2016
• Объем работы:
  18 стр.
• Содержание:
  TABLE OF CONTENTS
  
  1. INTRODUCTION 2
  2. CONCEPTS OF UNCERTAIN VOLANTILITY 3
  2.1 Definitions 3
  2.2 The main characteristics of volatility 4
  2.3 Uncertain volatility in Quasi-sure Stochastic Analysis 5
  2.4 Analyzing Volatility Risk and Premium Across Option Strikes and Expiries 8
  3. CONCLUSION 11
  REFERENCES 13
  
• Выдержка из работы:
  1. INTRODUCTION
  
  Volatility is the variable in formulas of option pricing designating fluctuation of profitability of a basic asset since the present moment to an option expiry date.
  This project is based on two papers: one describing how to model implied volatility directly instead of modelling first the instantaneous volatility as a stochastic process and then obtaining the process of implied volatilities (Mete Soner H., Touzi N., Zhang J., 2011), and the other paper is a purely mathematical finance paper describing the foundations of the theory of uncertain volatilities (Wu L., Peter Carr P., 2013).
  The goal is to combine these two papers and see how the former paper can be transformed into the language of the latter.
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  2. CONCEPTS OF UNCERTAIN VOLANTILITY
  
  2.1 Definitions
  
  The word volatility comes from French word “volatile” which in turn comes from the Latin “volatilis” meaning "flying", "fast", "evaporating". It is interesting that in French "volatile" also means also "with inflated price". On a daily financial slang volatility is associated with degree of variability of the price. Highly volatile assets fluctuate in wider range, than low volatile. However, as well as in a case with in other words from this or that slang, it is possible to give strict quantitative definition to volatility differently. It is possible to understand volatility proceeding from various points of view. For example, if to consider from the mathematical point of view, volatility is one of the most difficult factors. But it doesn't mean at all that it is possible to understand this phenomenon only in figures.
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