Semiparametric Modeling of Implied Volatility (2005)Paperback - 2005, 19 October 2005

Semiparametric Modeling of Implied Volatility (2005)
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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.

Product Details

Book Edition:
2005
Book Format:
Paperback
Country of Origin:
DE
Date Published:
19 October 2005
Dimensions:
23.57 x 16.05 x 1.5 cm
ISBN-10:
3540262342
ISBN-13:
9783540262343
Language:
English
Location:
Berlin, Heidelberg
Pages:
224
Publisher:
Weight:
367.41 gm