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National Repository of Grey Literature 12 records found  previous11 - 12  jump to record: Search took 0.00 seconds. 
Dopad Implikované Volatility na FX Carry Trade
 Varga, Lukáš ; Witzany, Jiří (advisor) ; Baran, Jaroslav (referee)
This thesis aims to back-test the ability of implied volatility carry trade strategies to outperform the carry trade strategies in the FX markets. Recent research has shown that the profitability of the strategies is partly attributable to the market mispricings of the forward volatility agreements and a tendency of the forward implied volatility to overestimate the future spot implied volatility. This thesis uses a similar approach to construct portfolios containing 10 developed as well as 9 emerging market currencies. Our approach is based on the assumption that Uncovered Interest rate Parity (UIP), Forward Unbiasedness Hypothesis (FUH) and Forward Volatility Unbiasedness Hypothesis (FVUH) do not hold and therefore providing investors with several opportunities to construct trading strategies taking advantage of these market mispricings. In this thesis, we show that the foreign exchange carry trade strategy composed of the specific developed and emerging country's currencies can be outperformed by portfolio consisting of the implied volatility carry trade strategies in the FX market over the analysed period. The portfolios are adjusted to the riskiness which is accounted for by the VIX and VXY-G7 index for developed and VIX and VXY-EM index for emerging economies. The strong performance of the strategies outlined in this thesis can be of significant value to FX traders and portfolio managers.
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Implied Volatility and Smile
 Rojček, Jakub ; Pígl, Jan (advisor)
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. Nevertheless, praxis has gained some nearly sufficient approaches.
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National Repository of Grey Literature : 12 records found   previous11 - 12  jump to record:
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