{"product_id":"fitting-the-implied-volatility-surface-immanuel-dobler-9783639720501","title":"Fitting the implied volatility surface","description":"In the context of exotic derivatives, arbitrage-free implied volatility surfaces are a crucial ingredient to sophisticated pricing routines. We use a non-linear optimization technique to fit an arbitrage-free implied volatility surface efficiently to market data. The fitting procedure is tailor-made for any analytic parametrization of the single volatility skews. We carry out this approach for a certain parametrization by implementing an Interior-Point method, discuss its shortcomings, potentials, as well as specific smoothing techniques. Besides all the theory, we give various fitting details and examples by using real market data.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eAuthor:\u003c\/b\u003e Immanuel Dobler\u003cbr\u003e\u003cb\u003eISBN-10:\u003c\/b\u003e 3639720504\u003cbr\u003e\u003cb\u003eISBN-13:\u003c\/b\u003e 9783639720501\u003cbr\u003e\u003cb\u003ePublisher:\u003c\/b\u003e AV Akademikerverlag\u003cbr\u003e\u003cb\u003eLanguage:\u003c\/b\u003e English\u003cbr\u003e\u003cb\u003ePublished:\u003c\/b\u003e 09\/29\/2014\u003cbr\u003e\u003cb\u003ePages:\u003c\/b\u003e 136\u003cbr\u003e\u003cb\u003eFormat:\u003c\/b\u003e Paperback\u003cbr\u003e\u003cb\u003eWeight:\u003c\/b\u003e 0.46lbs\u003cbr\u003e\u003cb\u003eSize:\u003c\/b\u003e 9.00h x 6.00w x 0.32d","brand":"Immanuel Dobler","offers":[{"title":"Paperback","offer_id":46974681514239,"sku":"9783639720501","price":39.85,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0662\/2982\/9887\/files\/img_180d37af-9473-47b4-b981-d5355d9e05d0.jpg?v=1750875751","url":"https:\/\/www.whiterainbookhouse.com\/products\/fitting-the-implied-volatility-surface-immanuel-dobler-9783639720501","provider":"WR Book House","version":"1.0","type":"link"}