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Semiparametric modeling of implied volatility
- 作者： Fengler, Matthias R.
- 出版： Berlin ;New York : Springer
- 叢書名： Springer finance
- 主題： Finance--Mathematical models , Estimation theory
- ISBN： 9783540262343 (pbk.): US$59.95 、 3540262342 (pbk.): US$59.95
- 資料類型: 圖書
- 內容註: Includes bibliographical references (p. [207]-220) and index.
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讀者標籤：
- 系統號： 005008972 | 機讀編目格式
館藏資訊
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.
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