Forecasting volatility: a review of the main approaches and the predicting power of options
Micari, Marco (A.A. 2024/2025) Forecasting volatility: a review of the main approaches and the predicting power of options. Tesi di Laurea in Risk management, Luiss Guido Carli, relatore Daniele Penza, pp. 114. [Master's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
The concept of volatility in financial markets and volatility predicting approaches. Volatility forecasting models. Evidence from the traditional forecasting approaches. Alternative forecasting approaches: machine learning models, hybrid frameworks and alternative data. Option pricing models. Constant volatility models. Local volatility models. Stochastic volatility models. Assessing the volatility-predicting power of options. Methodology. IV from the Black and Scholes model. IV from the Dupire model. IV from the Heston model.
References
Bibliografia: pp. 111-113. Sitografia: p. 114.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77) |
| Chair: | Risk management |
| Thesis Supervisor: | Penza, Daniele |
| Thesis Co-Supervisor: | Morelli, Giacomo |
| Academic Year: | 2024/2025 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 15 Jun 2026 12:25 |
| Last Modified: | 15 Jun 2026 12:25 |
| URI: | https://tesi.luiss.it/id/eprint/46149 |
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