Modelling volatility for better hedging
Project with JF B茅gin
As financial markets grow increasingly complex, finance professionals are often tasked with managing risks associated with volatility and uncertainty. Developing expertise in advanced volatility modelling, such as realized volatility and GARCH models, is becoming essential for effective risk management and decision-making. This research project aims to deepen our understanding of these models, focusing on their application in option hedging.
The student will gain theoretical expertise in financial econometrics and practical skills in implementing advanced volatility models. They will be responsible for the following, among others:
- Familiarizing themselves with the literature on GARCH models and realized volatility.
- Understanding the main GARCH models used for option pricing and hedging.
- Writing computer code to implement the selected GARCH models.
- Applying the developed models to real-world hedging scenarios.
- Documenting all work.