Semiparametric Modeling of Implied Volatility, Fengler Matthias R.
Автор: Hafner Reinhold Название: Stochastic Implied Volatility / A Factor-Based Model ISBN: 3540221832 ISBN-13(EAN): 9783540221838 Издательство: Springer Рейтинг: Цена: 11873 р. Наличие на складе: Нет в наличии.
Описание: This book presents a factor-based model of the stochastic evolution of the implied volatility surface. The model allows for the integrated and consistent pricing and hedging, risk management, and trading of equity index derivatives as well as volatility derivatives. In the first part, the book develops a unifying theory for the analysis of contingent claims under both the real-world measure and the risk-neutral measure in an environment of stochastic implied volatility. On the basis of transaction data, the second part of the book provides extensive statistical analyses on the dynamics of the implied volatility surface of German DAX options and proposes a four-factor model to describe its evolution. The model is validated and tested on market data. The final part deals with potential applications of the model in the fields of exotic option pricing, value at risk, and volatility trading.
Автор: Sperlich Stefan, HГ¤rdle Wolfgang, Aydinli GГ¶khan Название: The Art of Semiparametrics ISBN: 3790817007 ISBN-13(EAN): 9783790817003 Издательство: Springer Рейтинг: Цена: 17819 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This selection of articles has emerged from different works presented at the conference "The Art of Semiparametrics" celebrated in 2003 in Berlin. The idea was to bring together junior and senior researchers but also practitioners working on semiparametric statistics in rather different fields. The meeting succeeded in welcoming a group that presents a broad range of areas where research on, respectively with, semiparametric methods is going on. It contains mathematical statistics, econometrics, finance, business statistics, etc. and thus combines theoretical contributions with more applied and partly even empirical studies. Although each article represents an original contribution to its own field, they all are written in a self-contained way to be read also by non-experts of the particular topic. This volume therefore offers a collection of individual works that together show the actual large spectrum of semiparametric statistics.
Описание: In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation with over 80ew or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the perfect-replication' approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity/FX options. The book is split into four parts. Part I deals with a Black world without smiles, sets out the author's philosophical' approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. It begins with a review of relevant empirical information about smiles, and provides coverage of local-stochastic-volatility, general-stochastic-volatility, jump-diffusion and Variance-Gamma processes. Part II concludes with an important chapter that discusses if and to what extent one can dispense with an explicit specification of a model, and can directly presibe the dynamics of the smile surface. Part III focusses on interest rates when the volatility is deterministic. Part IV extends this setting in order to account for smiles in a financially motivated and computationally tractable manner. In this final part the author deals with CEV processes, with diffusive stochastic volatility and with Markov-chain processes. Praise for the First Edition: In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging.& The book is a must-read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed. Professor Ian Cooper, London Business School Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion&A rare combination of intellectual insight and practical common sense. Anthony Neuberger, London Business School
Описание: This volume, edited by Jeffrey Racine, Liangjun Su, and Aman Ullah, contains the latest research on nonparametric and semiparametric econometrics and statistics. Chapters by leading international econometricians and statisticians highlight the interface between econometrics and statistical methods for nonparametric and semiparametric procedures.
Автор: Horowitz Название: Semiparametric Methods in Econometrics ISBN: 0387984771 ISBN-13(EAN): 9780387984773 Издательство: Springer Рейтинг: Цена: 20789 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: During the 1980s and 1990s, much research has been carried out on semiparametric econometric models that are relevant to empirical economics. This text synthesizes the results that have been achieved for five classes of these models.
Описание: Parametric and semiparametric models are tools with a wide range of applications to reliability, survival analysis, and quality of life. This self-contained volume
examines these tools in survey articles written by experts currently working on the development and evaluation of models and methods. While a number of chapters deal with general
theory, several explore more specific connections and recent results in "real-world" reliability theory, survival analysis, and related fields.
Описание: "Efficient and Adaptive Estimation for Semiparametric Models".
Автор: Rachev, Svetlozar T. Kim, Young Shim Bianchi, Mich Название: Financial models with levy processes and volatility clustering ISBN: 0470482354 ISBN-13(EAN): 9780470482353 Издательство: Wiley Рейтинг: Цена: 15428 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: In this book, authors Rachev, Kim, Bianchi, and Fabozzi present readers with the notions of risk and their corresponding performance measures. They cover a wide range of applications to financial risk management and share with readers how to implement the applications they bring forth using professional software. Further, they introduce statistical and econometric frameworks for readers to use in modeling asset returns for large financial portfolios, techniques absolutely necessary in todays volatile markets. In addition to theory and application, the authors give readers a host of new approaches to portfolio optimization and trading strategies. They provide methods for computational finance; methods that are extremely useful to financial risk analysts, portfolio managers, and finance professionals. The authors fully cover Stochastic Processes, Continuous Market Models, Discrete Market Models with Volatility Clustering, Option Pricing in Exponential Tempered Stable Models, GARCH Models, Parameter Estimations, and much more.
Описание: Quantitative research in finance has spurred innovation in derivatives markets especially when it comes to volatility modeling and credit risk. This book deals with advances in volatility modeling in the context of equity and index derivatives, and covers advances in pricing models for CDOs and portfolio credit derivatives.
Автор: George A. Fontanills Название: The Volatility Course ISBN: 0471398160 ISBN-13(EAN): 9780471398165 Издательство: Wiley Рейтинг: Цена: 9075 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: It takes a special set of trading skills to thrive in today's intensely volatile markets, where point swings of plus or minus 200 points can occur on a weekly, sometimes daily, basis. The Volatility Course arms stock and options traders with those skills. George Fontanills and Tom Gentile provide readers with a deeper understanding of market volatility and the forces that drive it. They develop a comprehensive road map detailing how to identify its ups and downs. And they describe proven strategies and tools for quantifying volatility and confidently developing plans tailored to virtually any given market condition. Thempanion workbook provides step--by--step exercises to help you master the strategies outlined in The Volatility Course before putting them into action in the markets.
Автор: Jean-Pierre Fouque Название: Derivatives in Financial Markets with Stochastic Volatility ISBN: 0521791634 ISBN-13(EAN): 9780521791632 Издательство: Cambridge Academ Рейтинг: Цена: 16449 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book addresses problems in financial mathematics of pricing and hedging derivative securities in an environment of uncertain and changing market volatility. These problems are important to investors from large trading institutions to pension funds. It presents mathematical and statistical tools that exploit the bursty nature of market volatility. The mathematics is introduced through examples and illustrated with simulations and the modeling approach that is described is validated and tested on market data. The material is suitable for a one semester course for graduate students who have had exposure to methods of stochastic modeling and arbitrage pricing theory in finance. It is easily accessible to derivatives practitioners in the financial engineering industry.
Автор: Derman Emanuel Название: The Volatility Smile ISBN: 1118959167 ISBN-13(EAN): 9781118959169 Издательство: Wiley Рейтинг: Цена: 11798 р. Наличие на складе: Поставка под заказ.
Описание: The Volatility Smile The Black-Scholes-Merton option model was the greatest innovation of 20th century finance, and remains the most widely applied theory in all of finance.
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