Curtin University Homepage
  • Library
  • Help
    • Admin

    espace - Curtin’s institutional repository

    JavaScript is disabled for your browser. Some features of this site may not work without it.
    View Item 
    • espace Home
    • espace
    • Curtin Theses
    • View Item
    • espace Home
    • espace
    • Curtin Theses
    • View Item

    On the determinants of the evolution of the volatility surface in the over-the-counter currency option market

    199892_Hu 2014.pdf (2.955Mb)
    Access Status
    Open access
    Authors
    Hu, Laixi
    Date
    2014
    Supervisor
    Prof. Robert Durand
    Dr Kurt Smith
    Type
    Thesis
    Award
    MPhil
    
    Metadata
    Show full item record
    School
    School of Economics and Finance
    URI
    http://hdl.handle.net/20.500.11937/683
    Collection
    • Curtin Theses
    Abstract

    This dissertation presents an empirical analysis of the determinants of the evolution of the volatility surface in the over-the-counter currency option market. We show spot rate return, change in realised volatility, volatility of volatility, market sentiment and interest rate differential all have strong correlation with the variation of volatility surface. And the size and significance of these explanatory variables differs between currencies and different market.

    Related items

    Showing items related by title, author, creator and subject.

    • Behaviour and performance of key market players in the US futures markets
      Gurrib, Muhammad Ikhlaas (2008)
      This study gives an insight into the behaviour and performance of large speculators and large hedgers in 29 US futures markets. Using a trading determinant model and priced risk factors such as net positions and sentiment ...
    • An analysis of Australian mutual fund performance and market relationships
      Pojanavatee, Sasipa (2013)
      Mutual funds are emerging as an opportunity for investors to automatically diversify their investments in such a way that all their money is pooled and the investment decisions are left to a professional manager. There ...
    • Oil consumption, pollutant emission, oil proce volatility and economic activities in selected Asian Developing Economies
      Rafiq, Shuddhasattwa (2009)
      It is now well established in the literature that oil consumption, oil price shocks, and oil price volatility may impact the economic activities negatively. Studies identifying the relationship between energy and/or oil ...
    Advanced search

    Browse

    Communities & CollectionsIssue DateAuthorTitleSubjectDocument TypeThis CollectionIssue DateAuthorTitleSubjectDocument Type

    My Account

    Admin

    Statistics

    Most Popular ItemsStatistics by CountryMost Popular Authors

    Follow Curtin

    • 
    • 
    • 
    • 
    • 

    CRICOS Provider Code: 00301JABN: 99 143 842 569TEQSA: PRV12158

    Copyright | Disclaimer | Privacy statement | Accessibility

    Curtin would like to pay respect to the Aboriginal and Torres Strait Islander members of our community by acknowledging the traditional owners of the land on which the Perth campus is located, the Whadjuk people of the Nyungar Nation; and on our Kalgoorlie campus, the Wongutha people of the North-Eastern Goldfields.