Making cents of yesterday, today and tomorrow : trading rules for volatility arbitrage
Master Thesis
2003
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University of Cape Town
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Abstract
This study is intended to be a rigorous examination of a valid and attractive practical problem in financial mathematics in the real world rather than a theoretical contribution. It has foci in statistical modelling of derivative (Black-Scholes) mechanics. The impetus for this research was initially gleaned while working with an active South African derivatives brokerage house (Cadiz Holdings) as an intern. It was immediately evident that there was a pressing need for an investigation into volatility trading rules to recommend trades (from the sell-side brokers) as well as to trigger trades (from the institutional investors point of view). The rules that both parties typically used appeared too simple to be useful or profitable.
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Bibliography: leaves 58-59.
Reference:
De Araujo, M. 2003. Making cents of yesterday, today and tomorrow : trading rules for volatility arbitrage. University of Cape Town.