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dc.contributor.authorHu, Laixi
dc.contributor.supervisorProf. Robert Durand
dc.contributor.supervisorDr Kurt Smith
dc.date.accessioned2017-01-30T09:52:23Z
dc.date.available2017-01-30T09:52:23Z
dc.date.created2014-07-28T03:39:34Z
dc.date.issued2014
dc.identifier.urihttp://hdl.handle.net/20.500.11937/683
dc.description.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.

dc.languageen
dc.publisherCurtin University
dc.titleOn the determinants of the evolution of the volatility surface in the over-the-counter currency option market
dc.typeThesis
dcterms.educationLevelMPhil
curtin.departmentSchool of Economics and Finance
curtin.accessStatusOpen access


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