Thesis-Shiyi_WANG.pdf (8.83 MB)
Download file

Volatility modelling and calibration by optimal transport

Download (8.83 MB)
thesis
posted on 03.08.2022, 01:17 authored by SHIYI WANG

This thesis studied volatility models for option pricing and their calibration methods using the optimal transport theory. The author first introduced theoretical results by casting a class of volatility model calibration problems as a type of convex optimisation problem. Based on the established results, the author proposed calibration methods with numerical methods to calibrate the local volatility model, stochastic volatility model and a joint model for SPX and VIX. The proposed methods efficiently and accurately capture the market dynamics.

History

Campus location

Australia

Principal supervisor

Gregoire Loeper

Additional supervisor 1

Ivan Guo

Year of Award

2022

Department, School or Centre

Mathematics

Course

Doctor of Philosophy

Faculty

Faculty of Science