

Summary: 
This work details the calculus of the implied volatility based in the formula of Black and Scholes used to determine the option prices and try to correlate the implied volatility with the volatility forecasted for the estimation of VaR . I take the emerging market to build the different time series analysis. As we know there are five components in the Black and Scholes formula, the exercise price, the price of the underlying asset, the quantity of days up the overdue, the interest rate and the volatility. The first three items are values known, but the interest rate and the volatility are unknown. The interest rate may be selected between a different interest market rates, I use the interest rate applied to the short sales or loans with assets guarantee. The volatility is estimated like an adjustable variable due to that the price option is the results of the market transactions. If the implied volatility can be predicted, this forecast aids to determine the behavior of the market risk. In the first part I analyze the series of returns, the estimation of VaR and the implied volatilities, when the options are in the money and when the options are at the money trying to build a homogeneous time series. In the second part I try to find a model to forecast the time series of implied volatilities and correlate the behavior of market risk based in the implied volatility forecast. 

Date: 1 June  Time: 8:30 to 10:30  Room: 251 
Theme: 1.A. Stochastic dependence 


