Semiparametric Modeling of Implied Volatility


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  1. The Essence of Strategic Giving: A Practical Guide for Donors and Fundraisers?
  2. Implicit Volatilities;
  3. Trích dẫn trùng lặp.
  4. Broken Chain: How the White and Indian Worlds Remembered Henry Hudson and the Dutch.
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  6. Semiparametric Modeling of Implied Volatility.
  7. Samenvatting.

In this paper, we study the statistical properties of the moneyness scaling transformation, which adjusts the moneyness coordinate of the implied volatility smile in an attempt to remove the discrepancy between the IV smiles for levered and unlevered ETF options.

We construct bootstrap uniform confidence bands which indicate that the implied volatility smiles are statistically different after moneyness scaling has been performed.

Semiparametric Modeling of Implied Volatility | Matthias R. Fengler | Springer

An empirical application shows that there are trading opportunities possible on the LETF market. A statistical arbitrage type strategy based on a dynamic semiparametric factor model is presented. This strategy presents a statistical decision algorithm which generates trade recommendations based on comparison of model and observed LETF implied volatility surface.

It is shown to generate positive returns with a high probability.

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Extensive econometric analysis of the LETF implied volatility process is performed including out-of-sample forecasting based on a semiparametric factor model and a uniform confidence bands' study. These provide new insights into the latent dynamics of the implied volatility surface. We also incorporate Heston stochastic volatility into the moneyness scaling method for better tractability of the model.

No potential conflict of interest was reported by the authors. Skip to Main Content. Search in: This Journal Anywhere. Advanced search.

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    • READ book Semiparametric Modeling of Implied Volatility Springer Finance Full Free;
    • Samenvatting This book offers recent advances in the theory of implied volatility and refined semiparametric estimation strategies and dimension reduction methods for functional surfaces. Recensie s From the reviews: This book brings together recent advances in the theory of implied volatility and refined semiparametric estimation strategies and dimension reduction methods for functional surfaces.

      The theory of implied and local volatility is presented. The smile-consistent modeling approaches are discussed in detail.

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      Semiparametric Modeling of Implied Volatility Semiparametric Modeling of Implied Volatility
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