Email me:

My thesis:


Implied Volatility Modelling of Options
Department: Department of Probability and Mathematical Statistics
Supervisor: doc. RNDr. Ing. Milos Kopa, Ph.D., Department of Probability and Mathematical Statistics

Keywords: implied volatility, local estimation, options, state price density
Klícová slova: implikovaná volatilita, lokální odhad, opce, state price density

MSC: 60H15 62G08

C. Homescu. Implied volatility surface: construction methodologies and characteristics. 2011.
Link (arxiv.org)
Citations: 29 (Google)

M. Fengler. Option data and modeling BSM implied volatility. Handbook of Computational Finance, Springer-Verlag, pages 117{142, 2010.
10.1007/978-3-642-17254-0_6
Citations: 4 (Springer), 24 (Google)

M. Benko, M. Fengler, W. Hardle, and M. Kopa. On extracting information implied in options. Computational Statistics, 22(4):543{553, 2007.
10.1007/s00180-007-0061-0
Citations: 13 (Scopus), 10 (Springer), 22 (Google)

NMST440 Assignments