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.
年:
2005
出版:
1
出版社:
Springer
语言:
english
页:
231
ISBN 10:
3540305912
ISBN 13:
9783540305910
系列:
Springer Finance
文件:
PDF, 4.25 MB
IPFS:
,
english, 2005
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