{"product_id":"fitting-the-implied-volatility-surface-von-immanuel-dobler","title":"Fitting the implied volatility surface","description":"\u003cp\u003eIn 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.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783639720501\"\u003e\u003ch3\u003eAn efficient optimization technique\u003c\/h3\u003e\u003c\/div\u003e","brand":"Autorenwelt Shop","offers":[{"title":"Softcover - 9783639720501","offer_id":39467297275997,"sku":"9783639720501","price":36.9,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/4612125b-4bad-42df-a4cf-f432d604a00c.jpg?v=1763447090","url":"https:\/\/shop.autorenwelt.de\/en\/products\/fitting-the-implied-volatility-surface-von-immanuel-dobler","provider":"Autorenwelt Shop","version":"1.0","type":"link"}