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Titlebook: Semiparametric Modeling of Implied Volatility; Matthias R. Fengler Book 2005 Springer-Verlag Berlin Heidelberg 2005 JEL: G12, G13.Options.

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發(fā)表于 2025-3-21 16:10:12 | 只看該作者 |倒序瀏覽 |閱讀模式
書目名稱Semiparametric Modeling of Implied Volatility
編輯Matthias R. Fengler
視頻videohttp://file.papertrans.cn/866/865009/865009.mp4
概述Fills a gap in the financial literature by incorporating both recent theoretical advances in implied volatility and refined semiparametric estimation strategies, and dimension reduction methods for fu
叢書名稱Springer Finance
圖書封面Titlebook: Semiparametric Modeling of Implied Volatility;  Matthias R. Fengler Book 2005 Springer-Verlag Berlin Heidelberg 2005 JEL: G12, G13.Options.
描述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 volati
出版日期Book 2005
關鍵詞JEL: G12, G13; Options; Portfolio; Semiparametric Model; Statistical Models; Volatility; dynamic factor mo
版次1
doihttps://doi.org/10.1007/3-540-30591-2
isbn_softcover978-3-540-26234-3
isbn_ebook978-3-540-30591-0Series ISSN 1616-0533 Series E-ISSN 2195-0687
issn_series 1616-0533
copyrightSpringer-Verlag Berlin Heidelberg 2005
The information of publication is updating

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Book 2005a ?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 balan
板凳
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rhaps, not better but more honest than striking a civic pose. / Both generate blood and tears. / Especially here, in the tropics, where death, alas, / / is being spread, like infection by flies, / or like a well-turned phrase in a cafe, / and where skulls in the bushes always have three eyes, / with
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cal legitimacy to his opponents by adopting Scottish economic ideas such as Locke’s natural rights-based theory of property and Smith’s The Wealth of Nations. Unlike Paley, Priestley and his opponents were more accepting of the social changes brought about by commercial society, highlighting how dif
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發(fā)表于 2025-3-22 16:02:59 | 只看該作者
cal legitimacy to his opponents by adopting Scottish economic ideas such as Locke’s natural rights-based theory of property and Smith’s The Wealth of Nations. Unlike Paley, Priestley and his opponents were more accepting of the social changes brought about by commercial society, highlighting how dif
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vious century— not just as a clerical ideologue, but mainly as a proto-political economistbefore Adam Smith..In order to achieve this goal, first, the authors clarify that Butler‘s theory of conscience and probability, which began with passion and selfishness, was created with the development of eig
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vious century— not just as a clerical ideologue, but mainly as a proto-political economistbefore Adam Smith..In order to achieve this goal, first, the authors clarify that Butler‘s theory of conscience and probability, which began with passion and selfishness, was created with the development of eig
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