الصفحة 1
الصفحة 1
Semiparametric Modeling of Implied Volatility
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.
Modern Econometric Analysis : Surveys on Recent Developments
The importance of empirical economics and econometric methods has greatly in creased during the last 20 years due to the availability of better data and the improved performance of computers. In an information-driven society such as ours we need quickly to obtain complete and convincing statistical results. This is only possible if the appropriate econometric methods are applied. Traditional econometric analysis concentrates on classical methods which are far from suitable for handling actual economic problems.
