Semiparametric Modeling of Implied Volatility
The implied volatility surface is a key financial variable for the pricing and the risk management of plain vanilla and exotic options portfolios alike. Consequently, statistical models of the implied volatility surface are of immediate importance in prac
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Editorial Board M. Avellaneda G. Barone-Adesi M. Broadie M.H.A. Davis E. Derman C. Klüppelberg E. Kopp W. Schachermayer
Springer Finance Springer Finance is a programme of books aimed at students, academics and practitioners working on increasingly technical approaches to the analysis of financial markets. It aims to cover a variety of topics, not only mathematical finance but foreign exchanges, term structure, risk management, portfolio theory, equity derivatives, and financial economics.
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Matthias R. Fengler
Semiparametric Modeling of Implied Volatility
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Matthias R. Fengler Equity Derivatives Group Sal. Oppenheim jr. & Cie. Untermainanlage 1 60329 Frankfurt Germany E-mail: [email protected]
Mathematics Subject Classification (2000): 62G08, 62G05, 62H25 JEL classification: G12, G13 This book is based on the author’s dissertation accepted on 28 June 2004 at the Humboldt-Universität zu Berlin.
Library of Congress Control Number: 2005930475 ISBN-10 3-540-26234-2 Springer Berlin Heidelberg New York I
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