波动率微笑：隐含信息与动态建模

项目名称： 波动率微笑：隐含信息与动态建模

项目编号： No.71471155

项目类型： 面上项目

立项/批准年度： 2015

项目学科： 管理科学

项目作者： 陈蓉

作者单位： 厦门大学

项目金额： 61万元

中文摘要： 理论与实践表明，期权隐含的波动率微笑中，蕴含着具有前瞻性、即时性、高频率的丰富信息。本课题拓展和运用最新的高精度无模型金融信息提取技术，采用大数据研究范式，基于理论模型和复杂计算，系统全面深入地提取、解读和运用波动率微笑数据中的丰富信息，包括风险中性二阶矩、风险中性偏度、风险中性分布、市场预期、风险溢酬、风险厌恶、投资者情绪、投资者行为偏好、风险预警等。并在此基础上发展两个新的动态模型，刻画波动率微笑的随机过程。其一是引入经济因子与隐含因子构造的瞬时波动率结构模型，其二是基于无套利框架构建的波动率市场模型。与国外研究相比，本课题关于波动率微笑隐含信息的研究更具一般性和系统性，并进一步提高了信息提取的精度、深度和广度，更适应中国市场特性；本课题构建的两个波动率微笑动态模型属于创新性模型。国内的同类研究则基本空白。

中文关键词： 波动率微笑；隐含信息；动态建模

英文摘要： It has been shown in theory and practice that option-implied volatility smiles contain ample information, which possesses many good qualities such as forward looking, instantaneity, and high frequency. Based on theoretical models and complex computations, this project will develop and employ the latest high-precision model-free method and the big data research paradigm to extract comprehensive information contents from volatility smiles thoroughly and systematically, such as risk-neutral second-order moments, risk-neutral skewnesses, risk-neutral distributions, market expectations, risk premia, risk aversions, investors sentiments, investors behaviors, risk forecasting, etc. Based on these researches, this project will develop two new volatility smile dynamics models. One is a structural model of instantaneous volatilities with economic factors and implied factors; the other is a market model of market volatilities based on the no-arbitrage principle. Comparing with other studies, our study on volatility smiles information contents will be more systematical and more generalized, will improve the accuracy, depth and extent of the implied information, and will fit China's markets better. The two dynamics models developed in this project are new models. There is almost no similar researches in China yet.

英文关键词： Volatility Smile;Information Content;Dynamic Modelling