Semiparametric Modeling of Implied Volatility

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Beschreibung

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.

Über 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.

Zusammenfassung

The implied volatility surface is a key financial variable for the pricing and the risk management of plain vanilla and exotic options portfolios alike. 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: Part One of the book is devoted to smile-consistent pricing approaches. The theory of implied and local volatility is presented concisely, and vital smile-consistent modeling approaches such as implied trees, mixture diffusion, or stochastic implied volatility models are discussed in detail. The Part Two familiarizes the reader with estimation techniques that meet the challenges in implied volatility modeling, such as the rich functional structure of observed implied volatility surfaces and the necessity for dimension reduction: non- and semiparametric smoothing techniques.

Inhaltsverzeichnis

The Implied Volatility Surface.- Smile Consistent Volatility Models.- Smoothing Techniques.- Dimension-Reduced Modeling.- Conclusion and Outlook.

Details

Erscheinungsjahr:	2005
Fachbereich:	Betriebswirtschaft
Genre:	Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Taschenbuch
Seiten:	240
Reihe:	Springer Finance Lecture Notes
Inhalt:	xvi 224 S. 61 s/w Illustr. 224 p. 61 illus.
ISBN-13:	9783540262343
ISBN-10:	3540262342
Sprache:	Englisch
Herstellernummer:	11496786
Ausstattung / Beilage:	Paperback
Einband:	Kartoniert / Broschiert
Autor:	Fengler, Matthias R.
Auflage:	2005
Hersteller:	Springer-Verlag GmbH Springer Berlin Heidelberg Springer Finance Lecture Notes
Maße:	235 x 155 x 14 mm
Von/Mit:	Matthias R. Fengler
Erscheinungsdatum:	19.10.2005
Gewicht:	0,371 kg