Semiparametric Modeling of Implied Volatility

Beschreibung

Druck auf Anfrage Neuware - Printed after ordering - Yet that weakness is also its greatest strength. People like the model because they can easily understand its assumptions. The model is often good as a rst approximation, and if you can see the holes in the assumptions you can use the model in more sophisticated ways. Black (1992) Expected volatility as a measure of risk involved in economic decision making isakeyingredientinmodern nancialtheory:therational,risk-averseinvestor will seek to balance the tradeo between the risk he bears and the return he expects. The more volatile the asset is, i.e. the more it is prone to exc- sive price uctuations, the higher will be the expected premium he demands. Markowitz (1959), followed by Sharpe (1964) and Lintner (1965), were among the rst to quantify the idea of the simple equation 'more risk means higher return' in terms of equilibrium models. Since then, the analysis of volatility and price uctuations has sparked a vast literature in theoretical and quan- tative nance that re nes and extends these early models. As the most recent climax of this story, one may see the Nobel prize in Economics granted to Robert Engle in 2003 for his path-breaking work on modeling time-dependent volatility.

Bestandsnummer des Verkäufers 9783540262343

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Bibliografische Details

Titel

Semiparametric Modeling of Implied Volatility

Verlag

Springer Berlin Heidelberg

Erscheinungsjahr

2005

Sprache

Englisch

ISBN-10

3540262342

ISBN-13

9783540262343

Einband

Taschenbuch

Zustand

Neu

Abmessungen

235B x 155 H x 14 T Millimeter Breite: 235 mm, Höhe: 155 mm, Tiefe: 14 mm

Gewicht

371 Gramm

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