Semiparametric Modeling of Implied Volatility

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...

Descripción completa

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Fengler, Matthias R. (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2005.
Edición:1st ed. 2005.
Colección:Springer Finance Lecture Notes,
Temas:
Finance.
Mathematical models.
Social sciences > Mathematics.
Statistics .
Financial Economics.
Mathematical Modeling and Industrial Mathematics.
Mathematics in Business, Economics and Finance.
Statistics in Business, Management, Economics, Finance, Insurance.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • The Implied Volatility Surface
  • Smile Consistent Volatility Models
  • Smoothing Techniques
  • Dimension-Reduced Modeling
  • Conclusion and Outlook.

Ejemplares similares