Semiparametric Modeling of Implied Volatility

Description

   
The implied volatility surface is a key financial variable for the pricing and the risk management of plain vanilla and exotic options portfolios alike. Consequently, statistical models of the implied volatility surface are of immediate importance in practice: they may appear as estimates of the current surface or as fully specified dynamic models describing its propagation through space and time. This book fills a gap in the financial literature by bringing together both recent advances in the theory of implied volatility and refined semiparametric estimation strategies and dimension reduction methods for functional surfaces: the first part of the book is devoted to smile-consistent pricing appoaches. The theory of implied and local volatility is presented concisely, and vital smile-consistent modeling approaches such as implied trees, mixture diffusion, or stochastic implied volatility models are discussed in detail. The second part of the book familiarizes the reader with estimation techniques that are natural candidates to meet the challenges in implied volatility modeling, such as the rich functional structure of observed implied volatility surfaces and the necessity for dimension reduction: non- and semiparametric smoothing techniques.



    Thank you!


    Thank you!


    Thank you!

Disclaimer:
Contents of this page are indexed from the Internet. All actions are under your responsability. Email us to report illegal contents or external links and we'll remove them immediately.

Please check the description for download links if any or do a search to find alternative books.

Can't Download?
Please search mirrors if you can't find download links for "Semiparametric Modeling of Implied Volatility" in "Description" and someone else may update the links. Check the comments when back to find any updates.

Search Mirrors
Maybe some mirror pages will be helpful, search this book at top of this page or click here to find more info.

1. Ebooks list page : 570
2. The Volatility Course Workbook: Step-by-Step Exercises to Help You Master The Volatility Course
3. Implied Law in the Abraham Narrative: A Literary and Theological Analysis
4. Semiparametric Regression
5. Semiparametric Theory and Missing Data
6. Semiparametric Regression for the Applied Econometrician
7. Semiparametric Regression for the Social Sciences
8. Nonlinear Time Series: Semiparametric and Nonparametric Methods
9. Nonlinear Time Series: Semiparametric and Nonparametric Methods (repost)
10. Semiparametric Regression (Cambridge Series in Statistical and Probabilistic Mathematics)
11. Life Distributions: Structure of Nonparametric, Semiparametric, and Parametric Families
12. Option-Implied Risk-Neutral Distributions and Risk Aversion
13. Volatility Trading
14. Buying and Selling Volatility
15. Buying and Selling Volatility
16. Stock Market Volatility