Università della Svizzera italiana

The futures price volatility in the crude oil market

Bakanova, Asyl ; Barone-Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2011 ; 2011ECO010.

The main goal of this thesis is to present and evaluate different procedures for modeling and forecasting volatility, and examine the relative accuracy of these forecasts using data from the light, sweet crude oil futures market traded at New York Mercantile Exchange (NYMEX). First, we consider various volatility models and find that the models, which account for long memory, has the best...

Università della Svizzera italiana

Semi-parametric implied volatility surface models and forecasts based on a regression tree-boosting algorithm

Colangelo, Dominik ; Audrino, Francesco (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2009 ; 2009ECO006.

A new methodology for semi-parametric modelling of implied volatility surfaces is presented. This methodology is dependent upon the development of a feasible estimating strategy in a statistical learning framework. Given a reasonable starting model, a boosting algorithm based on regression trees sequentially minimizes generalized residuals computed as differences between observed and...

Università della Svizzera italiana

An option pricing formula for the GARCH diffusion model

Ravanelli, Claudia ; Barone-Adesi, Giovanni (Dir.) ; Chesney, Marc (Codir.) ; Vanini, Paolo (Codir.)

Thèse de doctorat : Università della Svizzera italiana, 2003 ; 2003ECO001.

In this thesis, we derive an analytical closed-form approximation for European option prices under the GARCH diffusion model, where the price is driven by a geometric process and the variance by an uncorrelated mean reverting geometric process. This result has several important implications. First and foremost, these conditional moments allow us to obtain an analytical closed-form approximation...