Stochastic volatility models have become immensely popular since their introduction in 1993 by Heston. This is because their dynamics are more consistent with market behaviour compared to the standard Black-Scholes model. ...

This thesis analyses the performance of the equal weighted portfolio using an approach from stochastic portfolio theory. This framework allows for the decomposition of the relative performance of the equal weighted portfolio ...

We introduce new tiered bank network structures, allowing for many di erent bank sizes, and compare risk propagation in these structures with the well-known Erd˝os-R´enyi, assortative and disassortative structures. The ...

In this thesis, the generalised autoregressive conditional heteroskedasticity (GARCH) option pricing model is applied to illiquid markets, volatility indices and in a modern derivative pricing framework. Chapter 2 provides ...