Semiparametric Modeling of Implied Volatility
Publication year: 2005
ISBN: 978-3-540-30591-0
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This book fills a gap in the financial literature by bringing together both recent advances in the theory of implied volatility and refined semiparametric estimation strategies and dimension reduction methods for functional surfaces The book introduces Nadaraya-Watson, local polynomial and least squares kernel smoothing, and dimension reduction methods such as common principle components, functional principle components models and dynamic semiparametric factor models. Throughout, most methods are illustrated with empirical investigations, simulations and pictures.
Subject: Mathematics and Statistics, JEL: G12, G13, Options, Portfolio, Semiparametric Model, Statistical Models, Volatility, dynamic factor models, implied volatility, local volatility, modeling, non- and semiparametric regression, principal components models
