Fitting the implied volatility surface: An efficient optimization technique
Dobler, Immanuel
ISBN 10: 3639720504 ISBN 13: 9783639720501
Published by AV Akademikerverlag, 2014
New
Soft cover
From
Ria Christie Collections, Uxbridge, United Kingdom
Seller rating 5 out of 5 stars
AbeBooks Seller since 25 March 2015
This specific item is no longer available.
About this Item
Description:
In. Seller Inventory # ria9783639720501_new
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.
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.
"About this title" may belong to another edition of this title.
Bibliographic Details
Title: Fitting the implied volatility surface: An ...
Publisher: AV Akademikerverlag
Publication Date: 2014
Binding: Soft cover
Condition: New
Top Search Results from the AbeBooks Marketplace
Seller Image
Fitting the implied volatility surface
Print on DemandSeller: moluna, Greven, Germany
Seller rating 4 out of 5 stars
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
Buy New
£ 27.58
£ 42.79 shipping
Ships from Germany to U.S.A.
Ships from Germany to U.S.A.
Quantity: Over 20 available
Stock Image
Fitting the implied volatility surface: An efficient optimization technique
Published by
AV Akademikerverlag 2014-09-29, 2014
ISBN 10: 3639720504
ISBN 13: 9783639720501
New
Paperback
Seller: Chiron Media, Wallingford, United Kingdom
Seller rating 4 out of 5 stars
Paperback. Condition: New. Seller Inventory # 6666-IUK-9783639720501
Buy New
£ 28.39
£ 15.49 shipping
Ships from United Kingdom to U.S.A.
Ships from United Kingdom to U.S.A.
Quantity: 10 available
Stock Image
Fitting the implied volatility surface: An efficient optimization technique
Seller: Lucky's Textbooks, Dallas, TX, U.S.A.
Seller rating 5 out of 5 stars
Condition: New. Seller Inventory # ABLIING23Mar3113020206537
Fitting the implied volatility surface | An efficient optimization technique
Print on DemandSeller: preigu, Osnabrück, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. Fitting the implied volatility surface | An efficient optimization technique | Immanuel Dobler | Taschenbuch | 136 S. | Englisch | 2014 | AV Akademikerverlag | EAN 9783639720501 | Verantwortliche Person für die EU: OmniScriptum GmbH & Co. KG, Bahnhofstr. 28, 66111 Saarbrücken, info[at]akademikerverlag[dot]de | Anbieter: preigu Print on Demand. Seller Inventory # 105095154
Seller Image
Fitting the implied volatility surface
Seller: GreatBookPrices, Columbia, MD, U.S.A.
Seller rating 5 out of 5 stars
Condition: New. Seller Inventory # 22001385-n
Seller Image
Fitting the implied volatility surface
Seller: GreatBookPricesUK, Woodford Green, United Kingdom
Seller rating 5 out of 5 stars
Condition: New. Seller Inventory # 22001385-n
Buy New
£ 30.87
£ 15 shipping
Ships from United Kingdom to U.S.A.
Ships from United Kingdom to U.S.A.
Quantity: Over 20 available
Stock Image
Fitting the implied volatility surface An efficient optimization technique
Print on DemandSeller: PBShop.store UK, Fairford, GLOS, United Kingdom
Seller rating 5 out of 5 stars
PAP. Condition: New. New Book. Delivered from our UK warehouse in 4 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Seller Inventory # L0-9783639720501
Buy New
£ 31.67
£ 4.16 shipping
Ships from United Kingdom to U.S.A.
Ships from United Kingdom to U.S.A.
Quantity: Over 20 available
Seller Image
Fitting the implied volatility surface (Paperback or Softback)
Published by
AV Akademikerverlag 9/29/2014, 2014
ISBN 10: 3639720504
ISBN 13: 9783639720501
New
Paperback or Softback
Seller: BargainBookStores, Grand Rapids, MI, U.S.A.
Seller rating 5 out of 5 stars
Paperback or Softback. Condition: New. Fitting the implied volatility surface. Book. Seller Inventory # BBS-9783639720501
Seller Image
Fitting the implied volatility surface
Seller: GreatBookPrices, Columbia, MD, U.S.A.
Seller rating 5 out of 5 stars
Condition: As New. Unread book in perfect condition. Seller Inventory # 22001385
Seller Image
Fitting the implied volatility surface
Published by
AV Akademikerverlag Sep 2014, 2014
ISBN 10: 3639720504
ISBN 13: 9783639720501
New
Taschenbuch
Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germany
Seller rating 5 out of 5 stars
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