Volatility Surface Construction in European Options
| cam.depositDate | 2024-10-01 | |
| cam.restriction | thesis_access_open | |
| cam.supervisor | Dempster, Michael | |
| cam.thesis.confidential | sensitive_information_na | |
| cam.thesis.copyright | copyright_na | |
| dc.contributor.author | Li, Hui | |
| dc.contributor.orcid | Li, Hui [0000-0001-6594-4254] | |
| dc.date.accessioned | 2024-10-02T15:47:29Z | |
| dc.date.submitted | 2024-04-01 | |
| dc.description.abstract | This thesis presents a comprehensive framework for constructing volatility surfaces in European options markets, an essential aspect of options pricing and risk management. By examining market dynamics, implied volatility data, and traditional modeling techniques, this study proposes an enhanced methodology that incorporates current market information more precisely. The approach is validated with historical data, demonstrating improvements in predictive accuracy and pricing reliability, especially under varying market conditions. This framework provides both practical insights for traders and theoretical contributions to financial modeling. | |
| dc.description.sponsorship | EPSRC PhD studentship | |
| dc.identifier.doi | lihui_files/thesis.pdf | |
| dc.identifier.uri | https://cambridge-repository.netlify.app/lihui.html | |
| dc.language.iso | eng | |
| dc.publisher.department | Department of Pure Mathematics and Mathematical Statistics | |
| dc.publisher.institution | University of Cambridge | |
| dc.rights | Attribution 4.0 International (CC BY 4.0) | |
| dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | |
| dc.subject | financial mathematics | |
| dc.subject | options | |
| dc.subject | volatility | |
| dc.subject | surface | |
| dc.subject | financial market | |
| dc.subject | model | |
| dc.title | Volatility Surface Construction in European Options | |
| dc.type | Thesis | |
| dc.type.qualificationlevel | Doctoral | |
| dc.type.qualificationname | Doctor of Philosophy (PhD) | |
| pubs.licence-display-name | Apollo Repository Deposit Licence Agreement | |
| pubs.licence-identifier | apollo-deposit-licence-3 | |
| rioxxterms.licenseref.uri | https://creativecommons.org/licenses/by/4.0/ | |
| rioxxterms.type | Thesis |
