[pt] Esta dissertação visa analisar como o modelo de apreçamento de opções, utilizando o conceito de árvore trinomial implícita, pode ser aplicado no mercado acionário brasileiro, com resultados mais consistentes, se comparado ao modelo de Black-Scholes. Esse modelo incorpora o conceito de volatilidade implícita, sendo consideradas as expectativas futuras em relação ao preço de um ativo. A volatilidade implícita apresenta diferentes valores para diferentes preços de exercício ao longo do tempo. A denominação sorriso de volatilidade deve-se ao formato da curva da volatilidade implícita em função do preço de exercício. O formato do sorriso varia de acordo com o ativo-objeto da opção. Assim, a volatilidade varia ao longo tempo no cálculo da árvore, pois leva em considerando as oscilações do mercado, o que, conseqüentemente, impacta no preço do ativo e sua opção. / [en] This Paper aims to analyze how the option pricing model, using the concept of Implied Trinomial Trees can be applied to the Brazilian stock market, achieving more accurate results, if compared to the Black-Scholes model. This model includes the Implied Volatility concept, which means that future expectations are considered to price an asset. It presents different values for different Strike Prices through time. The volatility smile is named this way because of the shape of the Implied Volatility x Strike Price curve, which reminds a smile. Its shape changes according to the asset to be priced. Thus, as volatility varies with time, the option pricing using Implied Trinomial Trees is affected by the market’s oscillations, whose consequences can be observed in the asset’s price and its option price, consequently.

Can we capture the explosive nature of volatility skew observed in the market, without resorting to non-Markovian models? We show that, in terms of skew, the Heston model cannot match the market at both long and short maturities simultaneously. We introduce Abi Jaber (2019)'s Lifted Heston model and explain how to price options with it using both the cosine method and standard Monte-Carlo techniques. This allows us to back out implied volatilities and compute skew for both models, confirming that the Lifted Heston nests the standard Heston model. We then produce and analyze the skew for Lifted Heston models with a varying number N of mean reverting terms, and give an empirical study into the time complexity of increasing N. We observe a weak increase in convergence speed in the cosine method for increased N, and comment on the number of factors to implement for practical use.

In this thesis, we propose a new and simple approach of extending the single-factor Heston stochastic volatility model to a more flexible one in solving option pricing problems.  In this approach, the volatility process for the underlying asset dynamics depends on the time to maturity of the option. As this idea is inspired by the Heath-Jarrow-Morton framework which models the evolution of the full dynamics of forward rate curves for various maturities, we name this approach as the HJM-type stochastic volatility (HJM-SV)  model. We conduct an empirical analysis by calibrating this model to real-market option data for underlying assets including an equity  (ABB stock) and a market index (EURO STOXX 50), for two separated time spans from Jan 2017 to Dec 2017 (before the COVID-19 pandemic) and from Nov 2019 to Nov 2020 (after the start of COVID-19 pandemic). We investigate the optimal way of dividing the set of option maturities into three classes, namely, the short-maturity, middle-maturity, and long-maturity classes. We calibrate our HJM-SV model to the data in the following way, for each class a single-factor Heston stochastic volatility model is calibrated to the corresponding market data. We address the question that how well the new HJM-SV model captures the feature of implied volatility surface given by the market data.

ABSTRACT This paper contrasts J.K. Rowling’s Harry Potter series in the English original with its Swedish translation, by Lena Fries-Gedin. After an initial presentation of related research, some concepts such as implied narrator, implied reader, as well as intertextuality in translation and dual audience in children’s literature are explained. These concepts are applied to the two bodies of text to examine if they are identical in both the English and the Swedish versions. Some translational strategies are presented, and looking at examples from the texts it is discerned which strategies are being used. The Swedish translation’s use of formal ‘you’ to reflect the quality of inter-character relationships is discussed and examined, and the portrayal of sociolects in the original and translation are compared, concluding that the dialects are transformed into average spoken Swedish, and that adolescent speech is only partially transposed from the English original. There is also a comparison of differences in register, where the mentioned examples show that there is a loss of fluidity in style, and that the tone of the Swedish text is more dated than the English text. Some comparisons to other translations of Harry Potter are made, citing examples from other research, to view the Swedish translation in an international context. A brief comparison of the graphic design differences of layout is discussed, concluding that the Swedish design is likely more appealing to children.

This study examines whether the implied volatility index can provide further information in forecasting volatility than historical volatility using GARCHfamily models. For this purpose, this researchhas been conducted to forecast volatility in two main markets the United States of America through its wildly used Standard and Poor’s 500 index and its correspondingvolatility index VIX and in Europe through its Euro Stoxx 50 and its correspondingvolatility index VSTOXX. To evaluate the in-sample content of information, the conditional variance equations of GARCH(1,1) and EGARCH (1,1) are supplemented by integrating implied volatility as an explanatory variable. The realized volatility has been generated from daily squared returns and was employed as a proxy for true volatility. To examine the out-of-sample forecast performance, one-day-ahead rolling forecasts have been generated, and Mincer–Zarnowitz regression and encompassing regression has been utilized. The predictive power of implied volatility has been assessed based on Mean Square Error (MSE). Findings suggest that the integration of implied volatility as an exogenous variable in the conditional variance of GARCHmodels enhancesthe fitness of modelsand decreasesvolatility persistency. Furthermore, the significance of the implied volatility coefficient suggests that implied volatility includes pertinent information in illuminating the variation of the conditional variance. Implied volatility is found to be a biased forecast of realized volatility. Empirical findings of encompassingregression testsimply that the implied volatility index does not surpass historical volatility in terms of forecasting future realized volatility.

This study aimed to analyse Swedish EFL students' efficiency on connotations. Connotation isa word's implied meaning which brings neutral, positive, or negative associations in aconversation. In this study, connotations were examined in terms of their appropriateness ifused in different contexts. The purpose of this research was to investigate whether Swedishstudents of an intermediate level showed sufficient skills in comprehending a word'sappropriateness when compared to a native speaker. Furthermore, this study also aimed toanalyse in what ways students engaged in English during their spare time show a correlation tohigher test scores. The results indicate that the Swedish students' combined score on theconnotation test showed less than half of the full score. The results also highlight that thestudents who are engaged in English more frequently compared to those who are not showedhigher test scores.

The purpose of our thesis is to examine the relationship between option implied volatility and analyst consensus recommendation revisions. We offer a Swedish perspective on the growing popularity of equity options and its relationship with different stock market participants and returns. We chose the Swedish options market since it is substantially smaller in relation to the stock market than in countries such as the US, it is also not as studied. First, we conduct an event study using a fixed effects OLS model to determine the effect of analysts’ consensus recommendation revision. Second, we use a probit regression model to determine the probability of a revision given the option implied volatility. We find that there is generally a statistically significant relationship between option implied volatility and analyst consensus recommendation revisions as well as with abnormal returns, providing further discussion on the information sharing between the two markets and its participants.

No description available.

This thesis studies realized volatility (RV), implied volatility (IV) and their applications in stochastic volatility models. The first essay uses both daytime and overnight high-frequency price data for equity index futures to estimate the RV of the S\&P500 and NASDAQ 100 indexes. Empirical results reveal strong inter-correlation between the regular-trading-time and after-hour RVs, as well as a significant predictive power of overnight RV on daytime RV and vice versa. We propose a new day-night realized stochastic volatility (DN-SV-RV) model, where the daytime and overnight returns are jointly modeled with their RVs, and their latent volatilities are correlated. The newly proposed DN-SV-RV model has the best out-of-sample return distribution forecasts among the models considered. The second essay extends the realized stochastic volatility model by jointly estimating return, RV and IV. We examine how RV and IV enhance the estimation of the latent volatility process for both the S\&P500 index and individual stocks. The third essay re-examines asymmetric stochastic volatility (ASV) models with different return-volatility correlation structures given RV and IV. We show by simulation that estimating the ASV models with return series alone may infer erroneous estimations of the correlation coefficients. The incorporation of volatility measures helps identify the true return-volatility correlation within the ASV framework. Empirical evidence on global equity market indices verifies that ASV models with additional volatility measures not only obtain significantly different estimations of the correlations compared to the benchmark ASV models, but also improve out-of-sample return forecasts. / Thesis / Doctor of Philosophy (PhD)

Models of the term structure of interest rates play a central role in the modern theory of pricing bonds and other interest rate claims. Term structure models based on the principle of no-arbitrage, especially those of the Heath-Jarrow-Morton (1992) class, have become very popular recently, both with academics and practitioners. Surprisingly however, although the implied volatility function plays a crucial role in these no-arbitrage term structure models, there is little systematic evidence to guide optimal model specification within this broad class. We study the implied volatility in the Heath-Jarrow-Morton framework using Eurodollar futures options data. We estimate a daily time series of forward rates within the HJM framework such that, by construction, the predicted futures prices from our model exactly match the observed futures prices. Next, we estimate a daily time series of volatility parameters such that the sum of squared errors between futures options prices predicted by the model and observed futures options prices is minimized. We use the six different volatility specifications suggested by Amin and Morton (1994) within the HJM class of models to price interest rate claims. Since the volatilities are the only unobservables, we use these models to infer the volatilities from the market prices of Eurodollar futures options over the 1987-1998 periods. The minimized sum of squared errors in the option prices is used as the measure of accuracy of each specific model. Each model differs from the others in its ability to match the market option prices and the time required for the computation. We compare the performances of the six volatility specifications in the accuracy-versus-computation time tradeoff. We document the systematic biases between the model and market prices as a function of option type, maturity, and moneyness. We also examine alternative numerical implementations of HJM models using the six volatility specifications. In particular, we analyze the impact on accuracy and computation time of using different numbers of time-steps. We also examine the effect of using time-steps of varying lengths within the same estimation procedure, and of ordering the time-steps in different ways. / Ph. D.