Monografie

A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics

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Language: Englisch

Identifier: 1206822015

Contributor: Fengler, Matthias R.
Härdle, Wolfgang
Mammen, Enno

DOI: 10.18452/3886

URN: http://nbn-resolving.org/urn:nbn:de:kobv:11-10045403

Rights: Der Zugriff auf das Objekt ist unbeschränkt möglich.

Last update: 26.01.2023, 1:53 PM CET

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Fengler, Matthias R.
Härdle, Wolfgang
Mammen, Enno

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A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics

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Other Objects (12)

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Implied Basket Correlation Dynamics

Numerics of Implied Binomial Trees

Implied Market Price of Weather Risk

Multivariate and Semiparametric Kernel Regression

Nonparametric and semiparametric models

Applied quantitative finance

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Calibration Design of Implied Volatility Surfaces

Long Memory Persistence in the Factor of ImpliedVolatility Dynamics

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