Fitting local volatility : analytic and numerical approaches in Black-Scholes and local variance gamma models / Andrey Itkin, New York University, USA.

Format:

Book

Author/Creator:

Itkin, Andrey, author.

Language:

English

Subjects (All):

Finance--Mathematical models.

Finance.

Physical Description:

xxii, 182 pages ; 24 cm

Place of Publication:

Singapore ; Hackensack, New Jersey : World Scientific Publishing Co. Pte. Ltd., [2020]

Summary:

"The concept of local volatility as well as the local volatility model are one of the classical topics of mathematical finance. Although the existing literature is wide, there still exist various problems that have not drawn sufficient attention so far, for example: a) construction of analytical solutions of the Dupire equation for an arbitrary shape of the local volatility function; b) construction of parametric or non-parametric regression of the local volatility surface suitable for fast calibration; c) no-arbitrage interpolation and extrapolation of the local and implied volatility surfaces; d) extension of the local volatility concept beyond the Black-Scholes model, etc. Also, recent progresses in deep learning and artificial neural networks as applied to financial engineering have made it reasonable to look again at various classical problems of mathematical finance including that of building a no-arbitrage local/implied volatility surface and calibrating it to the option market data"-- Provided by publisher.

Notes:

Includes bibliographical references and index.

ISBN:

9789811212765

9811212767

OCLC:

1122748994