Matthias R. Fengler, "Semiparametric Modeling of Implied Volatility"
2005 | pages: 231 | ISBN: 3540262342 | PDF | 4,3 mb
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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