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.
The book introduces Nadaraya-Watson, local polynomial and least
squares kernel smoothing, and dimension reduction methods such as
common principle components, functional principle components models
and dynamic semiparametric factor models. Throughout, most methods
are illustrated with empirical investigations, simulations and
pictures.
General
Is the information for this product incomplete, wrong or inappropriate?
Let us know about it.
Does this product have an incorrect or missing image?
Send us a new image.
Is this product missing categories?
Add more categories.
Review This Product
No reviews yet - be the first to create one!
Welcome to Loot.co.za!
Sign in / Register |Wishlists & Gift Vouchers |Help | Advanced search
