Research InterestsUnderstanding Implied Market Volatility: Theoretical Developments and Applications from the Stock Market to the Alternative Assets
Not only as one of the main concern but also source of income in the general financial market, volatility, is taking forcefully the attention of all the market investors and agents. The most famous volatility index, CBOE VIX Index, is nowadays always in the news. It is extremely useful in order to look forward to the equity market future volatility and market confidence, it is also necessary and essential for accurate and smart investment strategies.
The main aim of this research is to examine and study the implied volatility behavior, trend and its relationship with realized volatility, equity market and alternative assets. The main attraction to this new concept - implied volatility - in finance is that it can be calculated in a model - free manner. Starting from volatility fundamental properties, analysis of volatility skew or smile, volatility forecast through, not only classical models (ARCH, GARCH, etc.) but also through options market, a new volatility view, more related to the downside part and market real fear, will be analysed.
Final goal is to link this new volatility concept with trading strategies, derivatives market and alternative asset market. The new developed tools and methodologies could be beneficial for an investment banking, hedge funds and asset management point of view in order to save costs related to volatility premiums. It could also interesting studying the main drivers of the volatility (related to general market fear, apprehension and uncertainty) among financial events, macroeconomics and microeconomics news, monetary policies, innovations, technology and so on.
Kent Business School Scholarship
- MSc in Economics & Finance - Luiss Guido Carli – Rome.
- BA in Economics & Management – UniRomaTre – Rome.