Browsing Doctoral Theses by Thesis Supervisor "Zhang, Wenjun"

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    • Pricing variance swaps under stochastic volatility and stochastic interest rate

      Roslan, Teh Raihana Nazirah binti (Auckland University of Technology, 2016)
      In this thesis, we study the issue of pricing discretely-sampled variance swaps under stochastic volatility and stochastic interest rate. In particular, our modeling framework consists of the equity which follows the ...

    • Pricing Volatility Derivatives Under Lévy Processes

      Su, Shu (Auckland University of Technology, 2021)
      In this thesis, we study the pricing of the volatility derivatives, including VIX options, VIX futures, VXX options and S&P 500 variance futures, under Lévy processes with stochastic volatility. In particular, we investigate ...