Fitting the implied volatility surface - 8 Angebote vergleichen
| Preise | 2015 | 2016 | 2017 | 2019 | 2021 |
|---|---|---|---|---|---|
| Schnitt | € 41,38 | € 40,78 | € 40,69 | € 37,70 | € 36,99 |
| Nachfrage |
1
Fitting the implied volatility surface (2014)
~EN PB NWISBN: 9783639720501 bzw. 3639720504, vermutlich in Englisch, AV Akademikerverlag, Taschenbuch, neu.
Lieferung aus: Deutschland, Lieferbar in 2 - 3 Tage.
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. Taschenbuch, 01.10.2014.
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. Taschenbuch, 01.10.2014.
2
Fitting the implied volatility surface - An efficient optimization technique
~EN PB NWISBN: 9783639720501 bzw. 3639720504, vermutlich in Englisch, AV Akademikerverlag, Taschenbuch, neu.
Lieferung aus: Deutschland, Versandkostenfrei.
Fitting the implied volatility surface: 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. Englisch, Taschenbuch.
Fitting the implied volatility surface: 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. Englisch, Taschenbuch.
3
Fitting the implied volatility surface
~EN NW ABISBN: 9783639720501 bzw. 3639720504, vermutlich in Englisch, VDM Verlag Dr. Müller, Saarbrücken, Deutschland, neu, Hörbuch.
Lieferung aus: Österreich, Lieferzeit: 5 Tage, zzgl. Versandkosten.
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.
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.
5
Fitting the implied volatility surface
~EN PB NWISBN: 3639720504 bzw. 9783639720501, vermutlich in Englisch, AV Akademikerverlag, Taschenbuch, neu.
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
6
Fitting the implied volatility surface
~EN PB NWISBN: 3639720504 bzw. 9783639720501, vermutlich in Englisch, AV Akademikerverlag, Taschenbuch, neu.
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
7
Fitting the implied volatility surface (2014)
~EN PB NWISBN: 9783639720501 bzw. 3639720504, vermutlich in Englisch, VDM Verlag Dr. Müller, Saarbrücken, Deutschland, Taschenbuch, neu.
Lieferung aus: Deutschland, Next Day, Versandkostenfrei.
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
8
Fitting the implied volatility s (2014)
~EN PB NWISBN: 9783639720501 bzw. 3639720504, vermutlich in Englisch, VDM Verlag Dr. Müller, Saarbrücken, Deutschland, Taschenbuch, neu.
Lieferung aus: Deutschland, Next Day, Versandkostenfrei.
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
Die Beschreibung dieses Angebotes ist von geringer Qualität oder in einer Fremdsprache. Trotzdem anzeigen
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