Constructing volatility surfaces for managed funds

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dc.contributor.advisorVan Rooyen, Marchanden_ZA
dc.contributor.advisorInnocenzi, Paoloen_ZA
dc.contributor.authorBrinkman, Trevor Josephen_ZA
dc.date.accessioned2014-10-17T10:09:58Z
dc.date.available2014-10-17T10:09:58Z
dc.date.issued2014en_ZA
dc.descriptionIncludes bibliographical referencesen_ZA
dc.description.abstractIn this dissertation, a methodology is developed for constructing a volatility surface for a managed fund by extending the work of Bakshi et al. (2003) and Taylor (2014). The power utility assumption (with constant relative risk aversion for a specific maturity) and historical returns series data are used for the identified factors in influencing the return of the fund and the fund itself. The coefficient of relative risk aversion for a specific maturity and market is estimated from quoted option prices on a market index. This is used in combination with the identified factors and fund return series to estimate the risk-neutral skewness of the fund. An optimisation procedure is then used to determine the volatility smile of the fund for a specific maturity. Thereafter, the volatility surface of the fund is constructed by repeating each step for different maturities. Although this methodology produces sensible results, the optimisation routine used is sensitive to initial values and constraints.en_ZA
dc.identifier.apacitationBrinkman, T. J. (2014). <i>Constructing volatility surfaces for managed funds</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/8530en_ZA
dc.identifier.chicagocitationBrinkman, Trevor Joseph. <i>"Constructing volatility surfaces for managed funds."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2014. http://hdl.handle.net/11427/8530en_ZA
dc.identifier.citationBrinkman, T. 2014. Constructing volatility surfaces for managed funds. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Brinkman, Trevor Joseph AB - In this dissertation, a methodology is developed for constructing a volatility surface for a managed fund by extending the work of Bakshi et al. (2003) and Taylor (2014). The power utility assumption (with constant relative risk aversion for a specific maturity) and historical returns series data are used for the identified factors in influencing the return of the fund and the fund itself. The coefficient of relative risk aversion for a specific maturity and market is estimated from quoted option prices on a market index. This is used in combination with the identified factors and fund return series to estimate the risk-neutral skewness of the fund. An optimisation procedure is then used to determine the volatility smile of the fund for a specific maturity. Thereafter, the volatility surface of the fund is constructed by repeating each step for different maturities. Although this methodology produces sensible results, the optimisation routine used is sensitive to initial values and constraints. DA - 2014 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2014 T1 - Constructing volatility surfaces for managed funds TI - Constructing volatility surfaces for managed funds UR - http://hdl.handle.net/11427/8530 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/8530
dc.identifier.vancouvercitationBrinkman TJ. Constructing volatility surfaces for managed funds. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2014 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/8530en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDivision of Actuarial Scienceen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematical Financeen_ZA
dc.titleConstructing volatility surfaces for managed fundsen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMPhilen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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