Fitting the implied volatility surface: An efficient optimization technique - Immanuel Dobler
-30% koodiga BOOKS
Saadetis 12-18 tööpäeva jooksul
30-päevane tagastamisõigus
In the context of exotic derivatives, arbitrage-free implied volatility surfaces are a crucial ingredient to sophisticated pricing routines. We use a non-linear optimization technique to fit an arbitrage-free implied volatility surface efficiently to market data. The fitting procedure is tailor-made for any analytic parametrization of the single volatility skews. We carry out this approach for a certain par ... Täielik kirjeldus
Võib-olla meeldib sulle ka
TOP
Think and Grow Rich: The Landmark Bestseller Now Revised and Updated for the 21st Century
-30% koodiga BOOKS
Meie tarnija laos
TOP
Rich Dad Poor Dad. 25th Anniversary Edition: What the Rich Teach Their Kids About Money That the Poor and Middle Class Do Not!
-30% koodiga BOOKS
Laos
TOP
The Diary of a CEO: The 33 Laws of Business and Life
-30% koodiga BOOKS
Meie tarnija laos
TOP
The Let Them Theory: A Life-Changing Tool That Millions of People Can't Stop Talking About
-30% koodiga BOOKS
Meie tarnija laos
TOP
The Subtle Art of Not Giving a F*ck: A Counterintuitive Approach to Living a Good Life
-30% koodiga BOOKS
Meie tarnija laos
TOP
What Got You Here Won't Get You There: How successful people become even more successful
-30% koodiga BOOKS
Meie tarnija laos
TOP
The Book You Wish Your Parents Had Read (and Your Children Will Be Glad That You Did)
-30% koodiga BOOKS
Meie tarnija laos
TOP
Tuesdays with Morrie: An old man, a young man, and life's greatest lesson
-30% koodiga BOOKS
Meie tarnija laos
TOP
Flow: The Psychology of Optimal Experience
-30% koodiga BOOKS
Meie tarnija laos
TOP
Hold Me Tight: Your Guide to the Most Successful Approach to Building Loving Relationships
-30% koodiga BOOKS
Meie tarnija laos
TOP
The Mystical Garden Oracle: A 44-Card Deck & Guidebook
-30% koodiga BOOKS
Meie tarnija laos
TOP
Rich Dad's Cashflow Quadrant: Guide to Financial Freedom
-30% koodiga BOOKS
Meie tarnija laos
TOP
Cribsheet: A Data-Driven Guide to Better, More Relaxed Parenting, from Birth to Preschool
-30% koodiga BOOKS
Laos
TOP
Stalking the Wild Pendulum: On the Mechanics of Consciousness
-30% koodiga BOOKS
Meie tarnija laos
Kirjeldus
In the context of exotic derivatives, arbitrage-free implied volatility surfaces are a crucial ingredient to sophisticated pricing routines. We use a non-linear optimization technique to fit an arbitrage-free implied volatility surface efficiently to market data. The fitting procedure is tailor-made for any analytic parametrization of the single volatility skews. We carry out this approach for a certain parametrization by implementing an Interior-Point method, discuss its shortcomings, potentials, as well as specific smoothing techniques. Besides all the theory, we give various fitting details and examples by using real market data.
Lisateave
| Autor | Immanuel Dobler |
|---|---|
| Kirjastaja | AV Akademikerverlag |
| Väljalaskeaasta | 2014 |
| Kaanetüüp | Pehme kaanega |
| EAN | 9783639720501 |