Semiparametric Modeling of Implied Volatility PDF Download

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Semiparametric Modeling of Implied Volatility

Semiparametric Modeling of Implied Volatility PDF Author: Matthias R. Fengler
Publisher: Springer Science & Business Media
ISBN: 3540305912
Category : Business & Economics
Languages : en
Pages : 232

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Book 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.