Variance and Volatility Swaps and Futures Pricing Under Geometric Markov Renewal Processes and Stochastic Volatility Models

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atmire.migration.oldid5843
dc.contributor.advisorSwishchuk, Anatoliy
dc.contributor.authorWang, Zijia
dc.contributor.committeememberBadescu, Alexandru
dc.contributor.committeememberLehar, Alfred
dc.date.accessioned2017-08-10T14:36:06Z
dc.date.available2017-08-10T14:36:06Z
dc.date.issued2017
dc.date.submitted2017en
dc.description.abstractIn 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.en_US
dc.identifier.citationWang, Z. (2017). Variance and Volatility Swaps and Futures Pricing Under Geometric Markov Renewal Processes and Stochastic Volatility Models (Master's thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca. doi:10.11575/PRISM/28632en_US
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/28632
dc.identifier.urihttp://hdl.handle.net/11023/4004
dc.language.isoeng
dc.publisher.facultyGraduate Studies
dc.publisher.institutionUniversity of Calgaryen
dc.publisher.placeCalgaryen
dc.rightsUniversity of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission.
dc.subjectEducation--Finance
dc.subjectMathematics
dc.subject.othervariance and volatility swaps
dc.subject.othergeometric Markov renewal process
dc.subject.otherVIX futures
dc.titleVariance and Volatility Swaps and Futures Pricing Under Geometric Markov Renewal Processes and Stochastic Volatility Models
dc.typemaster thesis
thesis.degree.disciplineMathematics and Statistics
thesis.degree.grantorUniversity of Calgary
thesis.degree.nameMaster of Science (MSc)
ucalgary.item.requestcopytrue
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