Fitting the Implied Volatility Surface by Dobler, Immanuel [Paperback]

Description: In the context of exotic derivatives, arbitrage-free implied volatility surfaces are a crucial ingredient to sophisticated pricing routines. We use a non-linear optimization technique to fit an arbitrage-free implied volatility surface efficiently to market data. The fitting procedure is tailor-made for any analytic parametrization of the single volatility skews. We carry out this approach for a certain parametrization by implementing an Interior-Point method, discuss its shortcomings, potentials, as well as specific smoothing techniques. Besides all the theory, we give various fitting details and examples by using real market data. Immanuel Dobler was born and raised in Southern Germany. After graduating from High School in 2008, he successfully and ambitiously completed his Bachelor's and Master's degree in Mathematical Economics at Ulm University. Since 2014, he has been working for the Risk Methodology Department of Landesbank Baden-Württemberg (LBBW) in Stuttgart.

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EAN: 9783639720501

UPC: 9783639720501

ISBN: 9783639720501

MPN: N/A

Book Title: Fitting the Implied Volatility Surface by Dobler,

Item Length: 22.9 cm

Publisher: AV Akademikerverlag

Publication Year: 2014

Subject: Finance

Item Height: 229 mm

Number of Pages: 136 Pages

Language: English

Publication Name: Fitting the Implied Volatility Surface

Item Weight: 209 g

Type: Textbook

Author: Immanuel Dobler

Item Width: 152 mm

Format: Paperback