Analysis and Modelling of Implied Market Parameters

QR Code

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...

Full description

Bibliographic Details
Main Author:	Hin, Lin Yee
Format:	Thesis
Language:	English
Published:	Curtin University 2015
Online Access:	http://hdl.handle.net/20.500.11937/208

Similar Items

Implied volatility and contagion in the options market
by: Prima Sakti, Muhammad Rizky, et al.
Published: (2014)

Implied volatility forecasting in the options market: a survey
by: Mohamad, Azhar
Published: (2016)

On the implied market price of risk under the stochastic numéraire
by: Dokuchaev, Nikolai
Published: (2018)

On the implied volatility layers under the future risk-free rate uncertainty
by: Hin, L., et al.
Published: (2014)

Implied volatility in the individual stocks call options market: evidence from Malaysia
by: Mohamad, Azhar, et al.
Published: (2018)

Computation of the implied discount rate and volatility for an overdefined system using stochastic optimization
by: Hin, L., et al.
Published: (2015)

The role of an option-implied distribution in improving as asset allocation model
by: Bahaludin, Hafizah, et al.
Published: (2020)

Principles of implied terms in construction contracts
by: Lee, Cen Ying
Published: (2007)

Implied adjusted volatility functions: Empirical evidence from Australian index option market
by: Harun, Hanani Farhah, et al.
Published: (2015)

Excess Volatility and Implied Trading Strategy : A Panel Application in Five Asian Market
by: Vu, Thi Hong Nhung
Published: (2015)

Implied Volatility Futures Trading Activity and Impacts on Asian Stock Market: An Empirical study
by: Pham, Duc Nam Trung
Published: (2014)

Implied adjusted volatility functions: empirical evidence from Australian index option market
by: Harun, Hanani Farhah, et al.
Published: (2014)

Trading frequency and implied transaction costs of options: evidence from the Australian index option market
by: Abdullah, Mimi Hafizah, et al.
Published: (2010)

Asset allocation using option-implied moments
by: Bahaludin, Hafizah, et al.
Published: (2017)

Risk Committees and Implied Cost of Equity Capital
by: Al-Hadi, Al-Hadi Ahmed, et al.
Published: (2017)

The role of implied volatility in volatility combining forecasts
by: Ho, Jen Sim, et al.
Published: (2024)

An empirical test of implied volatility in Singaporean structured warrants
by: Samsudin, Najmi Ismail Murad, et al.
Published: (2018)

Wavelet improved option-implied moments: an empirical study
by: Harun, Hanani Farhah, et al.
Published: (2019)

Implied terms under the sale of goods act 1957
by: Shair Mohamad, Mohd Akram
Published: (2011)

The role of option-implied information in improving a portfolio selection
by: Abdullah, Mimi Hafizah, et al.
Published: (2020)

Vague languages implied through disparagement functions in comic strips
by: Jaufillaili,, et al.
Published: (2017)

Adaptation to implied tilt: extensive spatial extrapolation of orientation gradients
by: Roach, Neil W., et al.
Published: (2013)

On the implied volatility from a "purified" option price process
by: Luong, C., et al.
Published: (2014)

CDS Implied Default Probabilities: A Study of a Reduced Form Model for Credit Risk
by: Kosoglu, Elif
Published: (2010)

Implied transaction costs by leland option pricing models: A new approach and empirical evidence
by: Abdullah, Mimi Hafizah, et al.
Published: (2011)

Implied transaction costs by Leland option pricing model: a new approach and empirical evidence
by: Li, Steven, et al.
Published: (2012)

Implied adjusted volatility by leland option pricing models: evidence from Australian index options
by: Abdullah, Mimi Hafizah, et al.
Published: (2014)

Implied adjusted volatility by leland option pricing models: evidence from Australian index options
by: Abdullah, Mimi Hafizah, et al.
Published: (2014)

Forecasting S&P 100 Implied Volatility Using Artificial Neural Network
by: Roongroje, Thipawan
Published: (2009)

Employer's implied obligation to maintain a workplace free of sexual harassment
by: Ali Mohamed, Ashgar Ali
Published: (2011)

Time-varying relationship of news sentiment, implied volatility and stock returns
by: Smales, Lee
Published: (2016)

Pricing warrant by using binomial model : comparison between historical and implied volatility / Muhammad Nasruddeen Mazlan
by: Mazlan, Muhammad Nasruddeen
Published: (2020)

Approximation formula for option prices under Rough Heston model and short-time implied volatility behaviour
by: Siow, Woon Jeng, et al.
Published: (2020)

The Investigation of Implied Volatility for the FTSE100 Index Options: A Computational Approach
by: Zhao, Wenjing
Published: (2009)

Civil 'jurisdiction' of Syariah Court in Malaysia - should it be expressed or implied?: a reflection
by: Md. Dahlan, Nuarrual Hilal, et al.
Published: (2005)

The benefits and implied costs of JIT sourcing to chinese contractors: A review of literature
by: Wu, Peng, et al.
Published: (2014)

Disaggregation, auditor conservatism and implied cost of equity capital: An international evidence from the GCC
by: Al-Hadi, Ahmed Khamis Hamdan, et al.
Published: (2015)

Terms implied by Courts: a comparative appraisal of the law in Malaysia, the United Kingdom and Australia
by: Shair Mohamed, Mohd. Akram
Published: (2014)

An investigation of implied volatility during financial crisis: Evidence from Australian index options
by: Abdullah, Mimi Hafizah, et al.
Published: (2014)

Estimation of option-implied risk-neutral into real-world density by using calibration function
by: Bahaludin, Hafizah, et al.
Published: (2016)

Cannot write session to /tmp/vufind_sessions/sess_esgi0lvjopei90rfjtufg1c7af