Semiparametric Modeling of Implied Volatility
| Author | : Matthias R. Fengler |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 232 |
| Release | : 2005-12-19 |
| ISBN-10 | : 9783540305910 |
| ISBN-13 | : 3540305912 |
| Rating | : 4/5 (912 Downloads) |
Book Synopsis Semiparametric Modeling of Implied Volatility by : Matthias R. Fengler
Download or read book Semiparametric Modeling of Implied Volatility written by Matthias R. Fengler and published by Springer Science & Business Media. This book was released on 2005-12-19 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
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