Semiparametric Modeling of Implied Volatility (Springer Finance) (Volume 0)
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Semiparametric Modeling of Implied Volatility (Springer Finance) (Volume 0)
This 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.
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