Semiparametric Modeling of Implied Volatility

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1、SpringerFinanceEditorialBoardM.AvellanedaG.Barone-AdesiM.BroadieM.H.A.DavisE.DermanC.KlüppelbergE.KoppW.SchachermayerSpringerFinanceSpringerFinanceisaprogrammeofbooksaimedatstudents,academicsandpractitionersworkingonincreasinglytechnicalapproachestotheanalysisoffinancialmarkets.Itaimsto

2、coveravarietyoftopics,notonlymathematicalfinancebutforeignexchanges,termstructure,riskmanagement,portfoliotheory,equityderivatives,andfinancialeconomics.AmmannM.,CreditRiskValuation:Methods,Models,andApplication(2001)BackK.,ACourseinDerivativeSecurities:IntroductiontoTheoryandComputation

3、(2005)BarucciE.,FinancialMarketsTheory.Equilibrium,EfficiencyandInformation(2003)BieleckiT.R.andRutkowskiM.,CreditRisk:Modeling,ValuationandHedging(2002)BinghamN.H.andKieselR.,Risk-NeutralValuation:PricingandHedgingofFinancialDerivatives(1998,2nded.2004)BrigoD.andMercurioF.,InterestRate

4、Models:TheoryandPractice(2001)BuffR.,UncertainVolatilityModels-TheoryandApplication(2002)DanaR.A.andJeanblancM.,FinancialMarketsinContinuousTime(2002)DeboeckG.andKohonenT.(Editors),VisualExplorationsinFinancewithSelf-OrganizingMaps(1998)ElliottR.J.andKoppP.E.,MathematicsofFinancialMark

5、ets(1999,2nded.2005)FenglerM.,SemiparametricModelingofImpliedVolatility(2005)GemanH.,MadanD.,PliskaS.R.andVorstT.(Editors),MathematicalFinance-BachelierCongress2000(2001)GundlachM.,LehrbassF.(Editors),CreditRisk+intheBankingIndustry(2004)KellerhalsB.P.,AssetPricing(2004)KülpmannM.,Irra

6、tionalExuberanceReconsidered(2004)KwokY.-K.,MathematicalModelsofFinancialDerivatives(1998)MalliavinP.andThalmaierA.,StochasticCalculusofVariationsinMathematicalFinance(2005)MeucciA.,RiskandAssetAllocation(2005)PelsserA.,EfficientMethodsforValuingInterestRateDerivatives(2000)PrigentJ.-L.

7、,WeakConvergenceofFinancialMarkets(2003)SchmidB.,CreditRiskPricingModels(2004)ShreveS.E.,StochasticCalculusforFinanceI(2004)ShreveS.E.,StochasticCalculusforFinanceII(2004)Yor,M.,ExponentialFunctionalsofBrownianMotionandRelatedProcesses(2001)ZagstR.,Interest-RateManagement(2002)Ziegle