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- W406432984 abstract "This dissertation is about the estimation and interpretation of volatility and correlation for the risk management of equity portfolios. In an efficient market, in which all the relevant information is shared by its participants, the prices of derivatives are in mutual relation with the consensus estimates of the probability densities of the underlying assets. The pricing of derivatives is the art of representing financial risks using prices. The aim of this work is to “go back” from prices to probabilities. The first chapter describes an original methodology for the parametric estimation of the volatility surfaces from market prices. The proposed functional specification displays the right mix of robustness and flexibility and allows to fit very accurately even surfaces for which there are few or low quality market data. The second chapter is about probability surfaces. The probability surface is put forward as a new tool for the evaluation and the management of risks related to equity portfolios. A new methodology, using Weibull distributions to fit implicit densities, is presented here. As an example, two applications are described: the pricing of digital options and the construction of coherent risk measures. The last chapter is about correlation and the estimation of volatility surfaces for baskets of stocks. A new methodology implementing Montecarlo simulation to construct the volatility surface for the basket is proposed. Implicit correlations are treated at this stage: the issue of correlation skew and term structure is analyzed in detail. The paper ends with the description and implementation of a methodology for the estimation of implicit correlations and the description of their structure." @default.
- W406432984 created "2016-06-24" @default.
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- W406432984 date "2008-10-01" @default.
- W406432984 modified "2023-09-26" @default.
- W406432984 title "Interpreting the volatility surface: tools for pricing and risk management" @default.
- W406432984 hasPublicationYear "2008" @default.
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