Publicação
Volatility surfacef and market price uncertainty
| Resumo: | Volatility surface is a major factor in the valuation of several instruments. The models behind it are many. In this work project, we are going to discuss the major stochastic models used in practice, the hypotheses of these models, how to construct them and their main drawbacks. These drawbacks lead sometimes to valuation uncertainty in the market which is an important risk factor in different fields in finance. In this work we are going to focus on risk management. The aim of this analysis is to understand the motivation under which the European Bank Authority (EBA) creates a prudent valuation framework and the risk management solution to assess this risk. |
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| Autores principais: | Lahouiri, Elia |
| Assunto: | risk management volatility surface regulation Price uncertainty |
| Ano: | 2018 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| Resumo: | Volatility surface is a major factor in the valuation of several instruments. The models behind it are many. In this work project, we are going to discuss the major stochastic models used in practice, the hypotheses of these models, how to construct them and their main drawbacks. These drawbacks lead sometimes to valuation uncertainty in the market which is an important risk factor in different fields in finance. In this work we are going to focus on risk management. The aim of this analysis is to understand the motivation under which the European Bank Authority (EBA) creates a prudent valuation framework and the risk management solution to assess this risk. |
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