Matthias R. Fengler 
Semiparametric Modeling of Implied Volatility [PDF ebook] 

Sokongan

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.

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Jadual kandungan

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

Mengenai Pengarang

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

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Bahasa Inggeris ● Format PDF ● Halaman-halaman 224 ● ISBN 9783540305910 ● Saiz fail 5.1 MB ● Penerbit Springer Berlin ● Bandar raya Heidelberg ● Negara DE ● Diterbitkan 2005 ● Muat turun 24 bulan ● Mata wang EUR ● ID 2161492 ● Salin perlindungan Social DRM

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