We propose a semiparametric factor model, which approximates the implied volatility surface (IVS) in a finite dimensional function space. Unlike standard princi

A primary goal in modelling the implied volatility surface (IVS) for pricing and hedging aims at reducing complexity. For this purpose one fits the IVS each day

This book offers recent advances in the theory of implied volatility and refined semiparametric estimation strategies and dimension reduction methods for functi

The purpose of this study is to model implied volatility surfaces and identify risk factors that account for most of the randomness in the volatility surfaces.