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    Analysis and Modelling of Implied Market Parameters

    246122_Hin Lin Yee 2016.pdf (2.107Mb)
    Access Status
    Open access
    Authors
    Hin, Lin Yee
    Date
    2015
    Supervisor
    Assoc. Prof. Nikolai Dokuchaev
    Type
    Thesis
    Award
    PhD
    
    Metadata
    Show full item record
    School
    Department of Mathematics and Statistics
    URI
    http://hdl.handle.net/20.500.11937/208
    Collection
    • Curtin Theses
    Abstract

    This dissertation addresses market information extraction from option and zero coupon prices, its representation as contingent claim pricing model parameters, and its application in financial parameters analysis and forecast. We analyse implied volatility estimation sensitivity with respect to discount rate uncertainty. We develop a strategy to jointly infer implied discount rate and implied volatility from option prices. We infer market information from zero coupon prices in multiple yield curve framework to predict future short rate.

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