The prices of index options at a given date are usually represented via the corresponding implied volatility surface, presenting skew/smile features and term structure which several models have attempted to reproduce. However, the implied volatility surface also changes dynamically over time in a way that is not taken into account by current modelling approaches, giving rise to ‘Vega’ risk in o...

| We calculate implied costs for wireless networks and use them for evaluating trade-oos between calls of diierent rates. We model user mobility by assigning probabilities for the departure of calls. We use Fixed Channel Assignment (FCA) with priority for handoos over new call arrivals by reserving a number of channels for handoo calls in all the cells. The performance measures used are new cal...

Empirical evidence suggests that asset returns correlate more strongly in bear markets than conventional correlation estimates imply. We propose a method for determining complete tail–correlation matrices based on Value–at–Risk (VaR) estimates. We demonstrate how to obtain more efficient tail–correlation estimates by use of overidentification strategies and how to guarantee positive semidefinit...

An implied savings account for a given term structure model is a strictly positive predictable increasing process A such that zero coupon bond prices are given by B(t, T ) = E [ At AT ∣∣Ft ] for some Q equivalent to the original probability measure. We prove that if (A′, Q′) is another pair with the same properties, then A and A′ are indistinguishable. This extends a result given by Musiela/ Ru...

Given the quote price of a call or put option, the Black-Scholes implied volatility is the unique volatility parameter to be put into Black-Scholes formula to give the same price as the option quote price. This dissertation is concerned with the link between the implied volatility and the actual volatility of the underlying stock. Such a link is of particular practical interest since it relates...