Kai Fan

Kai Fan

PhD Thesis Title: Implied and Excess Volatility Analysis with Novel Approaches.

Supervisor: Professor Anthony Brabazon

External Examiner: Dr Ray Donnelly, University College Cork


My thesis reviews the big picture on the volatility analysis and focus on the implied volatility smiles analysis. It contributes to both financial theory and analytical approach. We find the market level, carry, momentum, and global macro factors as the explicit and explanatory to the principal component analysis, which are observable variables and differs from the level, curvature, and skews described generally in the literature review. Also, this thesis provides experiments with novel quantitative mothers, such as quantum-inspired evolutionary algorithm and agent-based modelling for calibration work in the financial market. Those experiments prove the capability and potential of these novel approaches for financial problems, particularly to the hard, non-convex and high dimensional problems with huge information and data size.

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