Autorenfreundlich Bücher kaufen?!
Beschreibung
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.
An efficient optimization technique
Details
| Verlag | AV Akademikerverlag |
| Ersterscheinung | 29. September 2014 |
| Maße | 22 cm x 15 cm x 0.9 cm |
| Gewicht | 221 Gramm |
| Format | Softcover |
| ISBN-13 | 9783639720501 |
| Seiten | 136 |
Schlagwörter
Bekannt durch
