Semiparametric modeling of implied volatility
著者
書誌事項
Semiparametric modeling of implied volatility
（Springer finance, . Lecture notes）
Springer, c2005
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注記
"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
内容説明・目次
内容説明
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.
目次
The Implied Volatility Surface.- Smile Consistent Volatility Models.- Smoothing Techniques.- Dimension-Reduced Modeling.- Conclusion and Outlook.
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