Semiparametric modeling of implied volatility
Author(s)
Bibliographic Information
Semiparametric modeling of implied volatility
（Springer finance, . Lecture notes）
Springer, c2005
Available at / 17 libraries
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Library, Research Institute for Mathematical Sciences, Kyoto University数研
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Note
"This book is based on the author's dissertation accepted on 28 June 2004 at the Humboldt-Universität zu Berlin." --T.p. verso
Includes bibliographical references (p. [207]-220) and index
Description and Table of Contents
Description
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.
Table of Contents
The Implied Volatility Surface.- Smile Consistent Volatility Models.- Smoothing Techniques.- Dimension-Reduced Modeling.- Conclusion and Outlook.
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