Jakub Rojček
Bachelor's thesis
Implied Volatility and Smile
Abstract:
In this work author speaks a little in generic about financial derivatives. Then he derives the famous Black-Scholes formula using less precise mathematical apparatus. Afterwards, he will analyze a few volatility models and their applications for creating volatility surface, which is the main goal of both theoreticians and practitioners. As we will see, the theory is yet very deep but unconsolidated …more
Language used: English
Date on which the thesis was submitted / produced: 4. 1. 2008
Identifier:
http://www.vse.cz/vskp/eid/17222
Thesis defence
- Date of defence: 24. 1. 2008
- Supervisor: Jan Pígl
Full text of thesis
Contents of on-line thesis archive
Published in Theses:- autentizovaným zaměstnancům ze stejné školy/fakulty
Other ways of accessing the text
Institution archiving the thesis and making it accessible: Vysoká škola ekonomická v Prazehttp://www.vse.cz/vskp/eid/17222
Vysoká škola ekonomická v Praze
Bachelor programme / field:
Hospodářská politika a správa / Finance
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