Semiparametric Modeling of Implied Volatility

• Main Author: Fengler, Matthias R. (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2005.
• Series: Springer Finance
• Subjects: 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...

Table of Contents:

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