Финансовая математика
Финансово-экономические дисциплины
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  • размер 4.58 МБ
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Fengler M.R. Semiparametric Modeling of Implied Volatility
Berlin, Springer, 2005. - 231p.

Книга посвящена проблеме оценивания подразумеваемой волатильности и объяснению эффекта "улыбки волатильности". Рассматриваются различные модели волатильности, методы её оценивания и даются рекомендации по использованию.
Для научных работников и аспирантов по специальности "Финансовая математика".
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