Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines
Year of publication: |
2012-04
|
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Authors: | Audrino, Francesco ; Meier, Pirmin |
Institutions: | School of Economics and Political Science, Universität St. Gallen |
Subject: | Empirical pricing kernel | function gradient descent | B-splines | option pricing |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 1210 40 pages |
Classification: | C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C51 - Model Construction and Estimation ; C53 - Forecasting and Other Model Applications ; c58 ; C63 - Computational Techniques |
Source: |
-
Splines for Financial Volatility
Audrino, Francesco, (2007)
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Empirical Pricing Kernel Estimation Using a Functional Gradient Descent Algorithm Based on Splines
Meier, Pirmin, (2012)
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Option trading strategies based on semi-parametric implied volatility surface prediction
Audrino, Francesco, (2009)
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Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation
Corsi, Fulvio, (2012)
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Volatility Forecasting: Downside Risk, Jumps and Leverage Effect
Audrino, Francesco, (2011)
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Option trading strategies based on semi-parametric implied volatility surface prediction
Audrino, Francesco, (2009)
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