Modeling Implied Volatility Surface Dynamics

Student: Kiselev Nikita

Educational Programme: Joint HSE-NES Undergraduate Program in Economics (Bachelor)

Final Grade: 9

Year of Graduation: 2024

Implied volatility surface is an important notion in modern derivatives pricing and options trading. This thesis studies spatial dynamics of implied volatility surfaces for single-stock and indices options. Two main models - Principal Component Analysis and Variational Autoencoder - are applied to the problem of describing implied volatility surfaces while reducing their dimensionality, as well as their reconstruction and generation of new surfaces. Then, these models are compared to each other from the point of their quality and robustness. Finally, possible use cases and extensions are discussed.

Full text (added May 29, 2024)

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