Semiparametric modeling of implied volatility:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Berlin
Springer
2005
|
| Series: | Springer Finance
|
| Subjects: | |
| Online Access: | Inhaltstext Inhaltsverzeichnis Klappentext |
| Physical Description: | XV, 224 S. graph. Darst. |
| ISBN: | 3540262342 9783540262343 |
Staff View
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| 245 | 1 | 0 | |a Semiparametric modeling of implied volatility |c Matthias R. Fengler |
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| 650 | 4 | |a Estimation theory | |
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| adam_text | Contents
1
2
2.1
2.2
2.3
2.4
2.5
2.6
2.6.1
2.6.2
2.7
2.7.1
2.7.2 DAX
2.8
2.8.1
2.8.2
2.9
2.9.1
2.9.2
2.10
2.11
2.12
3
3.1
3.2
3.3
3.4
3.5
3.6
XIV
3.7 The Two-Times-IV-Slope
3.8
3.9
3.10
3.10.1
3.10.2
3.10.3
3.11
3.12
3.13
4
4.1
4.2
4.2.1
4.2.2
4.3
4.4
4.4.1
4.4.2
4.5
4.5.1
4.5.2
4.6
5
5.1
5.2
5.2.1
5.2.2
5.2.3
5.2.4
5.2.5
5.3
5.3.1
5.3.2
5.4
5.4.1
5.4.2
5.4.3
5.4.4
5.4.5
5.5
Contents
6
A Description and Preparation of the IV Data
A.I Preliminaries
A.2 Data Correction Scheme
B Some Results from Stochastic Calculus
C Proofs of the Results on the LSK IV Estimator
C.I Proof of Consistency
C.2 Proof of Asymptotic Normality
References
Index
M.R.Fengler
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 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
.candidates to meet the challenges in implied volatility modeling,
such as the rich functional structure of implied volatility surfaces:
non-
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
A number of the computational examples are contained in an interactive
document that can be downloaded from www.xplore-stat.de, it provides
the links to web-based computing servers,.
|
| adam_txt |
Contents
1
2
2.1
2.2
2.3
2.4
2.5
2.6
2.6.1
2.6.2
2.7
2.7.1
2.7.2 DAX
2.8
2.8.1
2.8.2
2.9
2.9.1
2.9.2
2.10
2.11
2.12
3
3.1
3.2
3.3
3.4
3.5
3.6
XIV
3.7 The Two-Times-IV-Slope
3.8
3.9
3.10
3.10.1
3.10.2
3.10.3
3.11
3.12
3.13
4
4.1
4.2
4.2.1
4.2.2
4.3
4.4
4.4.1
4.4.2
4.5
4.5.1
4.5.2
4.6
5
5.1
5.2
5.2.1
5.2.2
5.2.3
5.2.4
5.2.5
5.3
5.3.1
5.3.2
5.4
5.4.1
5.4.2
5.4.3
5.4.4
5.4.5
5.5
Contents
6
A Description and Preparation of the IV Data
A.I Preliminaries
A.2 Data Correction Scheme
B Some Results from Stochastic Calculus
C Proofs of the Results on the LSK IV Estimator
C.I Proof of Consistency
C.2 Proof of Asymptotic Normality
References
Index
M.R.Fengler
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 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
.candidates to meet the challenges in implied volatility modeling,
such as the rich functional structure of implied volatility surfaces:
non-
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
A number of the computational examples are contained in an interactive
document that can be downloaded from www.xplore-stat.de, it provides
the links to web-based computing servers,. |
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| index_date | 2024-07-02T13:13:44Z |
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| spelling | Fengler, Matthias R. Verfasser aut Semiparametric modeling of implied volatility Matthias R. Fengler Berlin Springer 2005 XV, 224 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Springer Finance Zugl.: Berlin, Humboldt-Univ., Diss., 2004 Beweeglijkheid gtt Econometrische modellen gtt Estimation, Théorie de l' Finances - Modèles mathématiques Financieel management gtt Mathematisches Modell Estimation theory Finance Mathematical models Semiparametrisches Modell (DE-588)4232479-8 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Volatilität (DE-588)4268390-7 s Semiparametrisches Modell (DE-588)4232479-8 s DE-604 text/html http://deposit.dnb.de/cgi-bin/dokserv?id=2668785&prov=M&dok_var=1&dok_ext=htm Inhaltstext Digitalisierung UBRegensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014154598&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014154598&sequence=000002&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | Fengler, Matthias R. Semiparametric modeling of implied volatility Beweeglijkheid gtt Econometrische modellen gtt Estimation, Théorie de l' Finances - Modèles mathématiques Financieel management gtt Mathematisches Modell Estimation theory Finance Mathematical models Semiparametrisches Modell (DE-588)4232479-8 gnd Volatilität (DE-588)4268390-7 gnd |
| subject_GND | (DE-588)4232479-8 (DE-588)4268390-7 (DE-588)4113937-9 |
| title | Semiparametric modeling of implied volatility |
| title_auth | Semiparametric modeling of implied volatility |
| title_exact_search | Semiparametric modeling of implied volatility |
| title_exact_search_txtP | Semiparametric modeling of implied volatility |
| title_full | Semiparametric modeling of implied volatility Matthias R. Fengler |
| title_fullStr | Semiparametric modeling of implied volatility Matthias R. Fengler |
| title_full_unstemmed | Semiparametric modeling of implied volatility Matthias R. Fengler |
| title_short | Semiparametric modeling of implied volatility |
| title_sort | semiparametric modeling of implied volatility |
| topic | Beweeglijkheid gtt Econometrische modellen gtt Estimation, Théorie de l' Finances - Modèles mathématiques Financieel management gtt Mathematisches Modell Estimation theory Finance Mathematical models Semiparametrisches Modell (DE-588)4232479-8 gnd Volatilität (DE-588)4268390-7 gnd |
| topic_facet | Beweeglijkheid Econometrische modellen Estimation, Théorie de l' Finances - Modèles mathématiques Financieel management Mathematisches Modell Estimation theory Finance Mathematical models Semiparametrisches Modell Volatilität Hochschulschrift |
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