Volatility in financial markets: from Black-Scholes to the volatility surface
Damiano, Lorenzo (A.A. 2024/2025) Volatility in financial markets: from Black-Scholes to the volatility surface. Tesi di Laurea in Mathematical finance, Luiss Guido Carli, relatore Sara Biagini, pp. 39. [Bachelor's Degree Thesis]
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Abstract/Index
The mathematics of the Black-Scholes model. Probability spaces. Random variables. Stochastic processes. Random walk. Brownian motion. Ito calculus. The Black-Scholes model. Volatility and the volatility surface. The volatility smile and skew. Term structure of implied volatility. The volatility surface. Local volatility models. Derman-Kani implied volatility tree. Dupire forward equation. An example of local volatility for exotic option pricing.
References
Bibliografia: p. 39.
| Thesis Type: | Bachelor's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Bachelor's Degree Programs > Bachelor's Degree Program in Economics and Business, English language (L-33) |
| Chair: | Mathematical finance |
| Thesis Supervisor: | Biagini, Sara |
| Academic Year: | 2024/2025 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 04 Dec 2025 15:08 |
| Last Modified: | 04 Dec 2025 15:08 |
| URI: | https://tesi.luiss.it/id/eprint/44244 |
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