Willkommen, schön sind Sie da!
Logo Ex Libris

Semiparametric Modeling of Implied Volatility

  • E-Book (pdf)
  • 224 Seiten
(0) Erste Bewertung abgeben
Bewertungen
(0)
(0)
(0)
(0)
(0)
Alle Bewertungen ansehen
This book offers recent advances in the theory of implied volatility and refined semiparametric estimation strategies and dimensi... Weiterlesen
E-Books ganz einfach mit der kostenlosen Ex Libris-Reader-App lesen. Hiererhalten Sie Ihren Download-Link.
CHF 77.90
Download steht sofort bereit
Informationen zu E-Books
E-Books eignen sich auch für mobile Geräte (sehen Sie dazu die Anleitungen).
E-Books von Ex Libris sind mit Adobe DRM kopiergeschützt: Erfahren Sie mehr.
Weitere Informationen finden Sie hier.
Bestellung & Lieferung in eine Filiale möglich

Beschreibung

This book offers recent advances in the theory of implied volatility and refined semiparametric estimation strategies and dimension reduction methods for functional surfaces. The first part is devoted to smile-consistent pricing approaches. The second part covers estimation techniques that are natural candidates to meet the challenges in implied volatility surfaces. Empirical investigations, simulations, and pictures illustrate the concepts.



Autorentext
Matthias Fengler took his PhD in Finance at the Humboldt-Universität zu Berlin and is now a quantitative analyst at Sal. Oppenheim, Frankfurt.

Klappentext

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 current surface or as fully specified dynamic models describing its propagation through space and time.

This book fills a gap in the financial literature by bringing together both recent advances in the theory of implied volatility and refined semiparametric estimation strategies and dimension reduction methods for functional surfaces: the first part of the book is devoted to smile-consistent pricing appoaches. The theory of implied and local volatility is presented concisely, and vital smile-consistent modeling approaches such as implied trees, mixture diffusion, or stochastic implied volatility models are discussed in detail. The second part of the book familiarizes the reader with estimation techniques that are natural candidates to meet the challenges in implied volatility modeling, such as the rich functional structure of observed implied volatility surfaces and the necessity for dimension reduction: non- and semiparametric smoothing techniques.

The book introduces Nadaraya-Watson, local polynomial and least squares kernel smoothing, and dimension reduction methods such as common principle components, functional principle components models and dynamic semiparametric factor models. Throughout, most methods are illustrated with empirical investigations, simulations and pictures.



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

Produktinformationen

Titel: Semiparametric Modeling of Implied Volatility
Autor:
EAN: 9783540305910
ISBN: 978-3-540-30591-0
Digitaler Kopierschutz: Wasserzeichen
Format: E-Book (pdf)
Hersteller: Springer Berlin Heidelberg
Herausgeber: Springer
Genre: Wirtschaft
Anzahl Seiten: 224
Veröffentlichung: 17.01.2006
Jahr: 2006
Dateigrösse: 4.6 MB

Weitere Bände aus der Buchreihe "Springer Finance"