Browsing by Author "Wang, Zijia"

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    Variance and Volatility Swaps and Futures Pricing Under Geometric Markov Renewal Processes and Stochastic Volatility Models
    (2017) Wang, Zijia; Swishchuk, Anatoliy; Badescu, Alexandru; Lehar, Alfred
    In this thesis, we consider volatility swap, variance swap and VIX future pricing under different asset models. Specifically, we obtain the new results of swaps and futures pricing for the geometric Markov renewal processes (GMRP) models under different schemes and approximation approaches. We also consider four different stochastic volatility models and jump diffusion models which are commonly used in financial market, and use convexity correction approximation technique and Laplace transform method to evaluate the variance and volatility strikes and estimate the VIX future prices. In empirical study, we use Markov chain Monte Carlo algorithm for model calibration based on S&P 500 market data, evaluate the effect of adding jumps into the asset price processes on volatility derivatives pricing, and compare the performance of different pricing approaches.