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Constructing volatility surfaces for managed funds
Includes bibliographical references
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Division of Actuarial Science
2014
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| _version_ | 1867613232873603073 |
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| access_status_str | Open Access |
| author | Brinkman, Trevor Joseph |
| author2 | Van Rooyen, Marchand |
| author_browse | Brinkman, Trevor Joseph Van Rooyen, Marchand |
| author_facet | Van Rooyen, Marchand Brinkman, Trevor Joseph |
| author_sort | Brinkman, Trevor Joseph |
| collection | Thesis |
| description | Includes bibliographical references |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/8530 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:52.713Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Division of Actuarial Science |
| publisherStr | Division of Actuarial Science |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/8530 Constructing volatility surfaces for managed funds Brinkman, Trevor Joseph Van Rooyen, Marchand Innocenzi, Paolo Mathematical Finance Includes bibliographical references 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. 2014-10-17T10:09:58Z 2014-10-17T10:09:58Z 2014 Master Thesis Masters MPhil http://hdl.handle.net/11427/8530 eng application/pdf Division of Actuarial Science Faculty of Commerce University of Cape Town |
| spellingShingle | Mathematical Finance Brinkman, Trevor Joseph Constructing volatility surfaces for managed funds |
| thesis_degree_str | Master's |
| title | Constructing volatility surfaces for managed funds |
| title_full | Constructing volatility surfaces for managed funds |
| title_fullStr | Constructing volatility surfaces for managed funds |
| title_full_unstemmed | Constructing volatility surfaces for managed funds |
| title_short | Constructing volatility surfaces for managed funds |
| title_sort | constructing volatility surfaces for managed funds |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/8530 |
| work_keys_str_mv | AT brinkmantrevorjoseph constructingvolatilitysurfacesformanagedfunds |