Implied Volatility String Dynamics
Author: Matthias R. Fengler
Publisher:
Published: 2003
Total Pages:
ISBN-13:
DOWNLOAD EBOOKRead and Download eBook Full
Author: Matthias R. Fengler
Publisher:
Published: 2003
Total Pages:
ISBN-13:
DOWNLOAD EBOOKAuthor: Matthias R. Fengler
Publisher:
Published: 2005
Total Pages:
ISBN-13:
DOWNLOAD EBOOKAuthor: Matthias R. Fengler
Publisher:
Published: 2017
Total Pages: 43
ISBN-13:
DOWNLOAD EBOOKA primary goal in modelling the implied volatility surface (IVS) for pricing and hedging aims at reducing complexity. For this purpose one fits the IVS each day and applies a principal component analysis using a functional norm. This approach, however, neglects the degenerated string structure of the implied volatility data and may result in a modelling bias. We propose a dynamic semiparametric factor model (DSFM), which approximates the IVS in a finite dimensional function space. The key feature is that we only fit in the local neighborhood of the design points. Our approach is a combination of methods from functional principal component analysis and backfitting techniques for additive models. The model is found to have an approximate 10% better performance than a sticky moneyness model. Finally, based on the DSFM, we devise a generalized vega-hedging strategy for exotic options that are priced in the local volatility framework. The generalized vega-hedging extends the usual approaches employed in the local volatility framework.
Author: Matthias R. Fengler
Publisher: Springer Science & Business Media
Published: 2005-12-19
Total Pages: 232
ISBN-13: 3540305912
DOWNLOAD EBOOKThis book offers recent advances in the theory of implied volatility and refined semiparametric estimation strategies and dimension reduction methods for functional surfaces. The first part is devoted to smile-consistent pricing approaches. The second part covers estimation techniques that are natural candidates to meet the challenges in implied volatility surfaces. Empirical investigations, simulations, and pictures illustrate the concepts.
Author: Pavel Čižek
Publisher: Springer Science & Business Media
Published: 2005
Total Pages: 534
ISBN-13: 9783540221890
DOWNLOAD EBOOKStatistical Tools in Finance and Insurance presents ready-to-use solutions, theoretical developments and method construction for many practical problems in quantitative finance and insurance. Written by practitioners and leading academics in the field, this book offers a unique combination of topics from which every market analyst and risk manager will benefit. Covering topics such as heavy tailed distributions, implied trinomial trees, support vector machines, valuation of mortgage-backed securities, pricing of CAT bonds, simulation of risk processes and ruin probability approximation, the book does not only offer practitioners insight into new methods for their applications, but it also gives theoreticians insight into the applicability of the stochastic technology. Additionally, the book provides the tools, instruments and (online) algorithms for recent techniques in quantitative finance and modern treatments in insurance calculations. Written in an accessible and engaging style, this self-instructional book makes a good use of extensive examples and full explanations. Thenbsp;design of the text links theory and computational tools in an innovative way. All Quantlets for the calculation of examples given in the text are supported by the academic edition of XploRe and may be executed via XploRe Quantlet Server (XQS). The downloadable electronic edition of the book enables one to run, modify, and enhance all Quantlets on the spot.
Author: Ralf Brüggemann
Publisher:
Published: 2016
Total Pages: 29
ISBN-13:
DOWNLOAD EBOOKThe implied volatility of an option as a function of strike price and time to maturity forms a volatility surface. Traders price according to the dynamics of this high dimensional surface. Recent developments that employ semiparametric models approximate the implied volatility surface (IVS) in a finite dimensional function space, allowing for a low dimensional factor representation of these dynamics. This paper presents an investigation into the stochastic properties of the factor loading time series using the vector autoregressive (VAR) framework and analyzes the dynamic relationship of these factors with economic indicators.
Author: Arnaud Wolf
Publisher:
Published: 2018
Total Pages:
ISBN-13:
DOWNLOAD EBOOKAuthor: Torben Gustav Andersen
Publisher: Springer Science & Business Media
Published: 2009-04-21
Total Pages: 1045
ISBN-13: 3540712976
DOWNLOAD EBOOKThe Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.
Author: Jacinto Marabel Romo
Publisher:
Published: 2014
Total Pages: 22
ISBN-13:
DOWNLOAD EBOOKI perform a regression analysis to test two of the most famous heuristic rules existing in the literature about the behavior of the implied volatility surface. These rules are the sticky delta rule and the sticky strike rule. I present a new specification to test the sticky strike rule, which allows for dynamics in the implied volatility surface. In the empirical application I use monthly implied volatility surfaces corresponding to the IBEX 35 index. The estimation results show that the extended specification for the sticky strike rule presented in this article represents better the behavior of the implied volatility under this rule. Furthermore, there is not one rule which is the most appropriate at all times to explain the evolution of implied volatility surface. Depending on the market situation a rule may be more appropriate than another one. In particular, when the underlying asset displays trend, the sticky delta rule tends to prevail against the sticky strike rule. Conversely, when the underlying asset moves in range, then the sticky strike rule tends to predominate.
Author: Peng He
Publisher:
Published: 2007
Total Pages: 134
ISBN-13:
DOWNLOAD EBOOK