Stochastic implied volatility : a factor-based model /
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| Author / Creator: | Hafner, Reinhold, 1969- |
|---|---|
| Imprint: | Berlin ; New York : Springer, 2004. |
| Description: | xi, 229 p. : ill. ; 24 cm. |
| Language: | English |
| Series: | Lecture notes in economics and mathematical systems, 0075-8442 ; 545 Lecture notes in economics and mathematical systems 545. |
| Subject: | |
| Format: | Dissertations Print Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/5541174 |
MARC
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| 100 | 1 | |a Hafner, Reinhold, |d 1969- |0 http://id.loc.gov/authorities/names/no2004121494 |1 http://viaf.org/viaf/47837817 | |
| 245 | 1 | 0 | |a Stochastic implied volatility : |b a factor-based model / |c Reinhold Hafner. |
| 260 | |a Berlin ; |a New York : |b Springer, |c 2004. | ||
| 300 | |a xi, 229 p. : |b ill. ; |c 24 cm. | ||
| 336 | |a text |b txt |2 rdacontent |0 http://id.loc.gov/vocabulary/contentTypes/txt | ||
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| 490 | 1 | |a Lecture notes in economics and mathematical systems, |x 0075-8442 ; |v 545 | |
| 502 | |a Thesis (doctoral) - Universität, Augsburg, 2004. | ||
| 504 | |a Includes bibliographic references and index (p. [215]-223) and index. | ||
| 505 | 0 | 0 | |g 1. |t Introduction -- |g 2. |t Continuous-time financial markets -- |g 3. |t Implied volatility -- |g 4. |t The general stochastic implied volatility model -- |g 5. |t Properties of DAX implied volatilities -- |g 6. |t A four-factor model of DAX implied volatilities -- |g 7. |t Model applications -- |g 8. |t Summary and conclusion -- |g A. |t Some mathematical preliminaries -- |g B. |t Pricing of a variance swap via static replication. |
| 650 | 0 | |a Stochastic processes. |0 http://id.loc.gov/authorities/subjects/sh85128181 | |
| 650 | 7 | |a Stochastic processes. |2 fast |0 http://id.worldcat.org/fast/fst01133519 | |
| 830 | 0 | |a Lecture notes in economics and mathematical systems |v 545. |0 http://id.loc.gov/authorities/names/n42015164 | |
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| 927 | |t Library of Congress classification |a HB195.L4911 no.545 |l ASR |c ASR-JRLASR |g Analytic |b A61753422 |i 7790293 | ||