Download or read book Implied Volatility Surface Reconstruction for Energy Markets written by Mikhail Vladimirovich Deryabin and published by . This book was released on 2014 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this note we describe and compare two methodologies for calculating implied volatility of commodity prices, given the market prices of options on futures or implied volatilities, and a forward curve. The first methodology is fitting an exponential mean-reversion jump-diffusion model to the data, the second one is using a particular parameterisation of the surface that ensures no-arbitrage conditions. We use NYMEX data on WTI European-type oil options on futures as an example.
Download or read book Crude Oil Exploration in the World written by Mohamed Younes and published by BoD – Books on Demand. This book was released on 2012-03-16 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Crude Oil Exploration in the World" contains multidisciplinary chapters in the fields of prospection and exploration of crude oils all over the world in addition to environmental impact assessments, oil spills and marketing of crude oils.
Download or read book The Volatility Surface written by Jim Gatheral and published by Wiley. This book was released on 2006-09-18 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for The Volatility Surface "I'm thrilled by the appearance of Jim Gatheral's new book The Volatility Surface. The literature on stochastic volatility is vast, but difficult to penetrate and use. Gatheral's book, by contrast, is accessible and practical. It successfully charts a middle ground between specific examples and general models--achieving remarkable clarity without giving up sophistication, depth, or breadth." --Robert V. Kohn, Professor of Mathematics and Chair, Mathematical Finance Committee, Courant Institute of Mathematical Sciences, New York University "Concise yet comprehensive, equally attentive to both theory and phenomena, this book provides an unsurpassed account of the peculiarities of the implied volatility surface, its consequences for pricing and hedging, and the theories that struggle to explain it." --Emanuel Derman, author of My Life as a Quant "Jim Gatheral is the wiliest practitioner in the business. This very fine book is an outgrowth of the lecture notes prepared for one of the most popular classes at NYU's esteemed Courant Institute. The topics covered are at the forefront of research in mathematical finance and the author's treatment of them is simply the best available in this form." --Peter Carr, PhD, head of Quantitative Financial Research, Bloomberg LP Director of the Masters Program in Mathematical Finance, New York University "Jim Gatheral is an acknowledged master of advanced modeling for derivatives. In The Volatility Surface he reveals the secrets of dealing with the most important but most elusive of financial quantities, volatility." --Paul Wilmott, author and mathematician "As a teacher in the field of mathematical finance, I welcome Jim Gatheral's book as a significant development. Written by a Wall Street practitioner with extensive market and teaching experience, The Volatility Surface gives students access to a level of knowledge on derivatives which was not previously available. I strongly recommend it." --Marco Avellaneda, Director, Division of Mathematical Finance Courant Institute, New York University "Jim Gatheral could not have written a better book." --Bruno Dupire, winner of the 2006 Wilmott Cutting Edge Research Award Quantitative Research, Bloomberg LP
Download or read book Introducing the Implied Volatility Surface Parametrization IVP written by Babak Mahdavi-Damghani and published by . This book was released on 2015 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this article is to introduce a new parametrization of the implied volatility surface (IVP), which builds on the gSVI methodology recently introduced but incorporates novel features like a bid-ask model and the methodology behind de-arbitraging a volatility surface and stressing it without re-adding arbitrages within the scope of the FX market - where the relationship between currencies is constrained by the triangle rule as well as the usual calendar and butterfly arbitrages.
Download or read book Computing the Market Price of Volatility Risk in the Energy Commodity Markets written by James Doran and published by . This book was released on 2014 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we demonstrate the need for a negative market price of volatility risk to recover the difference between Black-Scholes (1973)/Black (1976) implied volatility and realized term volatility. Initially, using quasi-Monte Carlo simulation, we demonstrate numerically that a negative market price of volatility risk is the key risk premium in explaining the disparity between risk-neutral and statistical volatility in both equity and commodity-energy markets. This is robust to multiple specifications that also incorporate jumps. Next, using futures and options data from natural gas, heating oil and crude oil contracts over a ten year period, we estimate the volatility risk premium and demonstrate that the premium is negative and significant for all three commodities. Additionally, there appear distinct seasonality patterns for natural gas and heating oil, where winter/withdrawal months have higher volatility risk premiums. Computing such a negative market price of volatility risk highlights the importance of volatility risk in understanding priced volatility in these financial markets.
Download or read book Dynamics of the Implied Volatility Surface written by Jacinto Marabel Romo and published by . This book was released on 2014 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: I perform a regression analysis to test two of the most famous heuristic rules existing in the literature about the behavior of the implied volatility surface. These rules are the sticky delta rule and the sticky strike rule. I present a new specification to test the sticky strike rule, which allows for dynamics in the implied volatility surface. In the empirical application I use monthly implied volatility surfaces corresponding to the IBEX 35 index. The estimation results show that the extended specification for the sticky strike rule presented in this article represents better the behavior of the implied volatility under this rule. Furthermore, there is not one rule which is the most appropriate at all times to explain the evolution of implied volatility surface. Depending on the market situation a rule may be more appropriate than another one. In particular, when the underlying asset displays trend, the sticky delta rule tends to prevail against the sticky strike rule. Conversely, when the underlying asset moves in range, then the sticky strike rule tends to predominate.
Download or read book Analysis of Implied Volatility Surfaces written by Marina Schnellen and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book No Arbitrage Conditions and Characters of Implied Volatility Surface written by Qiankun Niu and published by . This book was released on 2016 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the market model based approach gained more popularity in implied volatility modeling literature, it is very important to understand the restriction on implied volatility surface imposed by no arbitrage conditions. There are many papers offering conclusions in different forms under kinds of assumptions. Thus a review of these conditions and a discussion of the relationship among these conditions will be helpful for implied volatility modeler as they can avoid wrong models. We will first introduce some results in the literature about no arbitrage conditions and general properties on implied volatility surface. Then we will present the sufficient and close to necessary conditions for no static arbitrage and talk about no dynamic arbitrage. Finally, we will show that when we are building models, check the last group of conditions, which can imply other necessary conditions, is quite enough.
Download or read book Implied volatility surfaces written by Robert G. Tompkins and published by . This book was released on 1999 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Volatility Modeling in Equity and Energy Markets with Applications to Derivative Pricing Hedging and Risk Management written by Ekaterina Ignatieva and published by . This book was released on 2012 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Volatility Surfaces written by Wulin Suo and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Implied volatilities are frequently used to quote the prices of options. The implied volatility of a European option on a particular asset as a function of strike price and time to maturity is known as the asset's volatility surface. Traders monitor movements in volatility surfaces closely. In this paper we develop a no-arbitrage condition for the evolution of a volatility surface. We examine a number of rules of thumb used by traders to manage the volatility surface and test whether they are consistent with the no-arbitrage condition and with data on the trading of options on the S&P 500 taken from the over-the-counter market. Finally we estimate the factors driving the volatility surface in a way that is consistent with the no-arbitrage condition.
Download or read book Modelling Volatility in Energy Markets written by Wenxue Wang and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Implied Volatility Around the World Geographical Markets and Asset Classes written by Julian P. Velev and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Implied volatility surfaces written by Robert G. Tompkins and published by . This book was released on 1999 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Implied Volatility in the Equity and Currency Markets written by Emma Rasiel and published by . This book was released on 2003 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stochastic Volatility Models for the European Electricity Markets written by Per Bjarte Solibakke and published by . This book was released on 2014 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper builds and implements a multifactor stochastic volatility model for the latent (and observable) volatility from the quarter and year forward contracts at the NASDAQ OMX Commodity Exchanges, applying Bayesian Markov chain Monte Carlo simulation methodologies for estimation, inference, and model adequacy assessment. Stochastic volatility is the main way time-varying volatility is modelled in financial markets. An appropriate scientific model description, specifying volatility as having its own stochastic process, broadens the applications into derivative pricing purposes, risk assessment and asset allocation and portfolio management. From an estimated optimal and appropriate stochastic volatility model, the paper reports risk and portfolio measures, extracts conditional one-step-ahead moments (smoothing), forecast one-step-ahead conditional volatility (filtering), evaluates shocks from conditional variance functions, analyses multi-step-ahead dynamics, and calculates conditional persistence measures. (Exotic) option prices can be calculated using the re-projected conditional volatility. Observed market prices and implied volatilities establish market risk premiums. The analysis adds insight and enables forecasts to be made, building up the methodology for developing valid scientific commodity market models.
Download or read book Arbitrage Free Smoothing of the Implied Volatility Surface written by Matthias R. Fengler and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
