Analysis and Modelling of Implied Market Parameters
This dissertation addresses market information extraction from option and zero coupon prices, its representation as contingent claim pricing model parameters, and its application in financial parameters analysis and forecast. We analyse implied volatility estimation sensitivity with respect to disco...
| Main Author: | |
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| Format: | Thesis |
| Language: | English |
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Curtin University
2015
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| Online Access: | http://hdl.handle.net/20.500.11937/208 |
| _version_ | 1848743313778147328 |
|---|---|
| author | Hin, Lin Yee |
| author_facet | Hin, Lin Yee |
| author_sort | Hin, Lin Yee |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | This dissertation addresses market information extraction from option and zero coupon prices, its representation as contingent claim pricing model parameters, and its application in financial parameters analysis and forecast. We analyse implied volatility estimation sensitivity with respect to discount rate uncertainty. We develop a strategy to jointly infer implied discount rate and implied volatility from option prices. We infer market information from zero coupon prices in multiple yield curve framework to predict future short rate. |
| first_indexed | 2025-11-14T05:43:35Z |
| format | Thesis |
| id | curtin-20.500.11937-208 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T05:43:35Z |
| publishDate | 2015 |
| publisher | Curtin University |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-2082017-02-20T06:40:47Z Analysis and Modelling of Implied Market Parameters Hin, Lin Yee This dissertation addresses market information extraction from option and zero coupon prices, its representation as contingent claim pricing model parameters, and its application in financial parameters analysis and forecast. We analyse implied volatility estimation sensitivity with respect to discount rate uncertainty. We develop a strategy to jointly infer implied discount rate and implied volatility from option prices. We infer market information from zero coupon prices in multiple yield curve framework to predict future short rate. 2015 Thesis http://hdl.handle.net/20.500.11937/208 en Curtin University fulltext |
| spellingShingle | Hin, Lin Yee Analysis and Modelling of Implied Market Parameters |
| title | Analysis and Modelling of Implied Market Parameters |
| title_full | Analysis and Modelling of Implied Market Parameters |
| title_fullStr | Analysis and Modelling of Implied Market Parameters |
| title_full_unstemmed | Analysis and Modelling of Implied Market Parameters |
| title_short | Analysis and Modelling of Implied Market Parameters |
| title_sort | analysis and modelling of implied market parameters |
| url | http://hdl.handle.net/20.500.11937/208 |