Stock image for illustration purposes only - book cover, edition or condition may vary.
Semiparametric Modeling of Implied Volatility
Fengler, Matthias (Sal. Oppenheim Jr. & Cie., Frankfurt, Germany)
€ 95.63
FREE Delivery in Ireland
Description for Semiparametric Modeling of Implied Volatility
paperback. Offers advances in the theory of implied volatility and refined semiparametric estimation strategies and dimension reduction methods for functional surfaces. This book deals with smile-consistent pricing approaches. It covers estimation techniques that are natural candidates to meet the challenges in implied volatility surfaces. Series: Springer Finance / Springer Finance Lecture Notes. Num Pages: 240 pages, 61 black & white illustrations, 15 black & white tables, biography. BIC Classification: KFFM2; PBWH. Category: (P) Professional & Vocational. Dimension: 236 x 157 x 13. Weight in Grams: 356.
Yet that weakness is also its greatest strength. People like the model because they can easily understand its assumptions. The model is often good as a ?rst approximation, and if you can see the holes in the assumptions you can use the model in more sophisticated ways. Black (1992) Expected volatility as a measure of risk involved in economic decision making isakeyingredientinmodern?nancialtheory:therational,risk-averseinvestor will seek to balance the tradeo? between the risk he bears and the return he expects. The more volatile the asset is, i.e. the more it is prone to exc- sive price ?uctuations, the higher will be the ... Read more
Yet that weakness is also its greatest strength. People like the model because they can easily understand its assumptions. The model is often good as a ?rst approximation, and if you can see the holes in the assumptions you can use the model in more sophisticated ways. Black (1992) Expected volatility as a measure of risk involved in economic decision making isakeyingredientinmodern?nancialtheory:therational,risk-averseinvestor will seek to balance the tradeo? between the risk he bears and the return he expects. The more volatile the asset is, i.e. the more it is prone to exc- sive price ?uctuations, the higher will be the ... Read more
Product Details
Format
Paperback
Publication date
2005
Publisher
Springer Germany
Number of pages
240
Condition
New
Series
Springer Finance / Springer Finance Lecture Notes
Number of Pages
224
Place of Publication
Berlin, Germany
ISBN
9783540262343
SKU
V9783540262343
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
About Fengler, Matthias (Sal. Oppenheim Jr. & Cie., Frankfurt, Germany)
Matthias Fengler took his PhD in Finance at the Humboldt-Universität zu Berlin and is now a quantitative analyst at Sal. Oppenheim, Frankfurt.
Reviews for Semiparametric Modeling of Implied Volatility
From the reviews: "This book brings together recent advances in the theory of implied volatility and refined semiparametric estimation strategies and dimension reduction methods for functional surfaces. The theory of implied and local volatility is presented. The smile-consistent modeling approaches are discussed in detail. … This book is for readers with a preknowledge of stochastic ... Read more