The Resource Semiparametric modeling of implied volatility, Matthias R. Fengler, (electronic resource)

Semiparametric modeling of implied volatility, Matthias R. Fengler, (electronic resource)

Label
Semiparametric modeling of implied volatility
Title
Semiparametric modeling of implied volatility
Statement of responsibility
Matthias R. Fengler
Creator
Subject
Genre
Language
eng
Summary
"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 approaches. The theory of implied and local volatility is presented concisely, and the vital smile-consistent modeling approaches such as implied trees, mixture diffusions, 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 implied volatility surfaces: non- and semiparametric smoothing techniques." "The book introduces Nadaraya-Watson, local polynomial and least squares kernel smoothing, and dimension reduction methods such as common principal components, functional principal components models and dynamic semiparametric factor models. Most methods are illustrated with empirical investigations, simulations and figures."--Jacket
Member of
Is part of
Cataloging source
COO
http://library.link/vocab/creatorName
Fengler, Matthias R
Dewey number
332/.01/5118
Illustrations
illustrations
Index
index present
LC call number
HG106
LC item number
.F46 2005
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
NLM call number
Online Book
Series statement
Springer finance
http://library.link/vocab/subjectName
  • Finance
  • Estimation theory
  • Mathematics
  • Quantitative Finance
  • Statistics for Business/Economics/Mathematical Finance/Insurance
  • Finances
  • Estimation, Théorie de l'
  • BUSINESS & ECONOMICS
  • Options (Finance)
  • Options (Finance)
  • Econometric models
  • Estimation theory
  • Finance
  • Financieel management
  • Beweeglijkheid
  • Econometrische modellen
Label
Semiparametric modeling of implied volatility, Matthias R. Fengler, (electronic resource)
Link
Instantiates
Publication
Bibliography note
Includes bibliographical references (pages 207-220) and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Introduction; The Implied Volatility Surface; Smile Consistent Volatility Models; Smoothing Techniques; Dimension-Reduced Modeling; Conclusion and Outlook
Dimensions
unknown
Extent
1 online resource (xv, 224 pages)
Form of item
online
Isbn
9783540305910
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
illustrations.
Specific material designation
remote
Stock number
978-3-540-26234-3
System control number
  • (OCoLC)67149809
  • (OCoLC)ocm67149809
Label
Semiparametric modeling of implied volatility, Matthias R. Fengler, (electronic resource)
Link
Publication
Bibliography note
Includes bibliographical references (pages 207-220) and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Introduction; The Implied Volatility Surface; Smile Consistent Volatility Models; Smoothing Techniques; Dimension-Reduced Modeling; Conclusion and Outlook
Dimensions
unknown
Extent
1 online resource (xv, 224 pages)
Form of item
online
Isbn
9783540305910
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
illustrations.
Specific material designation
remote
Stock number
978-3-540-26234-3
System control number
  • (OCoLC)67149809
  • (OCoLC)ocm67149809

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