Arbitrage-free prediction of implied volatility: a comparison study

Aluno(a): 

  • Eduardo Huther Albernaz Crespo

Data: 

30/07/2020 - 10:00

Local: 

Via Zoom

Resumo: 

This work shows an arbitrage-free prediction of implied volatility of a set of options with a given maturity. The approach is to predict the parameters of the SABR parameterization avoiding non-linear and non-explicit no-arbitrage restrictions. Applied to the Foreign Exchange option markets, ARMA, VAR and LSTM models are compared between different currencies.

*Texto enviado pelo aluno. 

Membros da banca: 

  • Yuri Fahham Saporito (orientador) - FGV EMAp
  • Rodrigo dos Santos Targino - FGV EMAp
  • Marcelo Fernandes - FGV EESP