Semiparametric Modeling of Implied Volatility

By:

Matthias R Fengler

Format:

Paperback / softback

Series:

Springer Finance Lecture Notes

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Description

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.

Author Biography:

Matthias Fengler took his PhD in Finance at the Humboldt-Universität zu Berlin and is now a quantitative analyst at Sal. Oppenheim, Frankfurt.

Release date Australia

October 19th, 2005

Author

Matthias R Fengler

Audience

Professional & Vocational

Illustrations

61 Illustrations, black and white; XVI, 224 p. 61 illus.

Pages

224

Series

Springer Finance Lecture Notes

Dimensions

156x234x13

ISBN-13

9783540262343

Product ID

2108874

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