Semiparametric Modeling of Implied Volatility

• Κύριος συγγραφέας: Fengler, Matthias R. (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg, 2005.
• Σειρά: Springer Finance
• Θέματα: Finance.; Economics, Mathematical.; Mathematical models.; Statistics.; Finance, general.; Mathematical Modeling and Industrial Mathematics.; Quantitative Finance.; Statistics for Business/Economics/Mathematical Finance/Insurance.

The implied volatility surface is a key financial variable for the pricing and the risk management of plain vanilla and exotic options portfolios alike. Consequently, statistical models of the implied volatility surface are of immediate importance in practice: they may appear as estimates of the cur...

Πίνακας περιεχομένων:

• The Implied Volatility Surface
• Smile Consistent Volatility Models
• Smoothing Techniques
• Dimension-Reduced Modeling
• Conclusion and Outlook.