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Stochastic Implied Volatility: A Factor-Based Model (Lecture Notes in Economics

Stochastic Implied Volatility: A Factor-Based Model (Lecture Notes in Economics

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ThismonographisbasedonmyPh.D.thesis,whichwasacceptedinJan-uary2004bythefacultyofeconomicsattheUniversityofAugsburg.Itisagreatpleasuretothankmysupervisor,Prof.Dr.ManfredSteiner,forhisscientificguidance ...
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This monograph is based on my Ph.D. thesis, which was accepted in Jan- uary 2004 by the faculty of economics at the University of Augsburg. It is a great pleasure to thank my supervisor, Prof. Dr. Manfred Steiner, for his scientific guidance and support throughout my Ph.D. studies. I would also like to express my thanks to Prof. Dr. Günter Bamberg for his comments and suggestions. To my colleagues at the department of Finance and Banking at the U ni- versity of Augsburg, I express my thanks for their kind support and their helpful comments over the past years. In particular, I would like to thank Dr. Bernhard Brunner for many interesting discussions and also for the careful revision of this manuscript. At risklab germany GmbH, Munich, I would first of alllike to thank Dr. Gerhard Scheuenstuhl and Prof. Dr. Rudi Zagst for creating an ideal environ- ment for research. I would also like to express my thanks to my coIleagues. It has been most enjoyable to work with them. In particular, I would like to thank Dr. Bernd Schmid. Our joint projects on stochastic implied volatil- ity models greatly influenced this work. I am also indebted to Anja Fischer for valuable contributions during her internship and Didier Vermeiren (from Octanti Associates) for carefuIly reading the manuscript.
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Product Details
  • Series: Lecture Notes in Economics and Mathematical Systems (Book 545)
  • Paperback: 229 pages
  • Publisher: Springer; 2004 edition (September 20, 2004)
  • Language: English
  • ISBN-10: 3540221832
  • ISBN-13: 978-3540221838

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