Fitting the implied volatility surface: An efficient optimization technique - Couverture souple

Dobler, Immanuel

 
9783639720501: Fitting the implied volatility surface: An efficient optimization technique
Couverture souple
ISBN 10 : 3639720504 ISBN 13 : 9783639720501
Editeur : AV Akademikerverlag, 2014

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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À propos de l?auteur

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.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
AV Akademikerverlag
Date d'édition
2014
Langue
anglais
ISBN 10 
3639720504
ISBN 13 
9783639720501
Reliure
Broché
Nombre de pages
136
Coordonnées du fabricant
non disponible
Personne responsable
non disponible