Semiparametric Modeling of Implied Volatility
Matthias R. FenglerThis 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.
Kategori:
Tahun:
2005
Edisi:
1
Penerbit:
Springer
Bahasa:
english
Halaman:
224
ISBN 10:
3540262342
ISBN 13:
9783540262343
Nama siri:
Springer Finance
Fail:
PDF, 4.51 MB
IPFS:
,
english, 2005
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