Stochastic implied volatility: a factor-based model

by Hafner, Reinhold

Type Book

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Title Statements

Full title :Stochastic implied volatility : a factor-based model / Reinhold Hafner.

Summary

This book presents a factor-based model of the stochastic evolution of the implied volatility surface. The model allows for the integrated and consistent pricing and hedging, risk management, and trading of equity index derivatives as well as volatility derivatives. In the first part, the book develops a unifying theory for the analysis of contingent claims under both the real-world measure and the risk-neutral measure in an environment of stochastic implied volatility. On the basis of transaction data, the second part of the book provides extensive statistical analyses on the dynamics of the implied volatility surface of German DAX options and proposes a four-factor model to describe its evolution. The model is validated and tested on market data. The final part deals with potential applications of the model in the fields of exotic option pricing, value at risk, and volatility trading.

Edition Statements

Publication Date:2004

Publication Statements

Publisher(s):Springer
Place of Publication:Berlin
Language:eng
Publication Date:2004

The Physical Object

Description:XI, 229 S. : graph. Darst. : 235 mm x 155 mm

Edition Identifiers

ISBN:3540221832, 9783540221838
oclc:ocn249629851
LC Classification:QA274.2
Dewey Decimal:510

Subjects

Börsenkurs Deutschland Faktorenanalyse Hochschulschrift Index-Futures Optionspreistheorie Processus stochastiques Schätzung Stochastic Processes Stochastischer Prozess Theorie Volatilität