Buchumschlag

Implied volatility string dynamics

A primary goal in modelling the dynamics of implied volatility surfaces (IVS) aims at reducing complexity. For this purpose one fits the IVS each day and applies a principal component analysis using a functional norm. This approach, however, neglects the degenerated string structure of the implied v...

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Bibliographische Detailangaben
Hauptverfasser: Fengler, Matthias (VerfasserIn) , Härdle, Wolfgang (VerfasserIn) , Mammen, Enno (VerfasserIn)
Körperschaft: Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse (BerichterstatterIn)
Dokumenttyp: Book/Monograph Arbeitspapier
Sprache:Englisch
Veröffentlicht: Berlin Humboldt-Universität 2003
Schriftenreihe:Discussion papers of interdisciplinary research project 373 2003,54
In: Discussion papers of interdisciplinary research project 373 (2003,54)

Schlagworte:
Arbeitspapier
Graue Literatur
Online-Zugang:Resolving-System, Volltext: http://hdl.handle.net/10419/66280
Resolving-System, Volltext: http://nbn-resolving.de/urn:nbn:de:kobv:11-10050885
Verlag, Volltext: http://edoc.hu-berlin.de/series/sfb-373-papers/2003-54/PDF/54.pdf
Volltext
Verfasserangaben:Matthias R. Fengler; Wolfgang Härdle; Enno Mammen

MARC

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