Semiparametric Modeling of Implied Volatility

Matthias R. Fengler

ISBN 10: 3540262342 / ISBN 13: 9783540262343

Verlag: Springer Berlin Heidelberg, Springer Berlin Heidelberg Okt 2005, 2005

Beschreibung

Neuware -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 expected premium he demands. Markowitz (1959), followed by Sharpe (1964) and Lintner (1965), were among the rst to quantify the idea of the simple equation ¿more risk means higher return¿ in terms of equilibrium models. Since then, the analysis of volatility and price uctuations has sparked a vast literature in theoretical and quan- tative nance that re nes and extends these early models. As the most recent climax of this story, one may see the Nobel prize in Economics granted to Robert Engle in 2003 for his path-breaking work on modeling time-dependent volatility.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 240 pp. Englisch. Bestandsnummer des Verkäufers 9783540262343

Bibliografische Details

Titel: Semiparametric Modeling of Implied Volatility

Verlag: Springer Berlin Heidelberg, Springer Berlin Heidelberg Okt 2005

Erscheinungsdatum: 2005

Einband: Taschenbuch

Zustand: Neu

Über diesen Titel

Inhaltsangabe:

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.

Über die Autorin bzw. den Autor:

Matthias Fengler took his PhD in Finance at the Humboldt-Universität zu Berlin and is now a quantitative analyst at Sal. Oppenheim, Frankfurt.