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Synopsis
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.
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About the Author
Immanuel Dobler was born and raised in Southern Germany. After graduating from High School in 2008, he successfully and ambitiously completed his Bachelor's and Master's degree in Mathematical Economics at Ulm University. Since 2014, he has been working for the Risk Methodology Department of Landesbank Baden-Württemberg (LBBW) in Stuttgart.
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- PublisherAV Akademikerverlag
- Publication date2014
- ISBN 10 3639720504
- ISBN 13 9783639720501
- BindingPaperback
- LanguageEnglish
- Number of pages136
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Fitting the implied volatility surface: An efficient optimization technique
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AV Akademikerverlag 2014-09-29, 2014
ISBN 10: 3639720504
ISBN 13: 9783639720501
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Fitting the implied volatility surface
Published by
AV Akademikerverlag Sep 2014, 2014
ISBN 10: 3639720504
ISBN 13: 9783639720501
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Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 136 pp. Englisch. Seller Inventory # 9783639720501
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Fitting the implied volatility surface : An efficient optimization technique
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Taschenbuch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - 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. Seller Inventory # 9783639720501
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Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Dobler ImmanuelImmanuel Dobler was born and raised in Southern Germany. After graduating from High School in 2008, he successfully and ambitiously completed his Bachelor s and Master s degree in Mathematical Economics at Ulm Universi. Seller Inventory # 4999925
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