Browsing Discussion papers of interdisciplinary research project 373 / Sonderforschungsbereich 373 by Subject "Implied Volatility Surface"

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2003-12-08Buch

Implied Volatility String Dynamics

Fengler, Matthias R.; Härdle, Wolfgang Karl; Mammen, Enno

A primary goal in modelling the dynamics of implied volatility surfaces (IVS) aims at reducing complexity. For this purpose one fits the IVS each day and applies a principal component analysis using a functional norm. This ...
2001-06-01Buch

The Dynamics of Implied Volatilities: A Common Principal Components Approach

Fengler, Matthias R.; Härdle, Wolfgang Karl; Villa, Christophe

It is common practice to identify the number and sources of shocks that move implied volatilities across space and time by applying Principal Components Analysis (PCA) to pooled covariance matrices of changes in implied ...