Stochastic Implied Volatility

A factor-Based Model

Reinhold Hafner - Collection Lecture Notes in Economics and Mathematical Systems

229 pages, parution le 04/10/2004

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Résumé

LECTURES NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS

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Sommaire

Introduction
Continuous-time Financial Markets
Implied Volatility
The General Stochastic Implied Volatility Model
Properties of DAX Implied Volatilities
A Four-Factor Model for DAX Implied Volatilities
Model Applications
Summary and Conclusion

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Reinhold Hafner
Collection	Lecture Notes in Economics and Mathematical Systems
Parution	04/10/2004
Nb. de pages	229
Format	15,5 x 23,5
Couverture	Broché
Poids	379g
Intérieur	Noir et Blanc
EAN13	9783540221838