Semiparametric Modeling of Implied Volatility
| Autor: | Matthias R. Fengler |
|---|---|
| EAN: | 9783540305910 |
| eBook Format: | |
| Sprache: | Englisch |
| Produktart: | eBook |
| Veröffentlichungsdatum: | 19.12.2005 |
| Kategorie: | |
| Schlagworte: | G13 JEL: G12 Options Portfolio Semiparametric Model Statistical Models Volatility dynamic factor models implied volatility local volatility modeling non- and semiparametric regression principal components models |
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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.
Matthias Fengler took his PhD in Finance at the Humboldt-Universität zu Berlin and is now a quantitative analyst at Sal. Oppenheim, Frankfurt.
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