Stochastic Implied Volatility: A Factor-Based Model
Springer Berlin Heidelberg, 2004 M08 5 - 229 pages
This monograph is based on my Ph.D. thesis, which was accepted in Jan uary 2004 by the faculty of economics at the University of Augsburg. It is a great pleasure to thank my supervisor, Prof. Dr. Manfred Steiner, for his scientific guidance and support throughout my Ph.D. studies. I would also like to express my thanks to Prof. Dr. GŁnter Bamberg for his comments and suggestions. To my colleagues at the department of Finance and Banking at the U ni versity of Augsburg, I express my thanks for their kind support and their helpful comments over the past years. In particular, I would like to thank Dr. Bernhard Brunner for many interesting discussions and also for the careful revision of this manuscript. At risklab germany GmbH, Munich, I would first of alllike to thank Dr. Gerhard Scheuenstuhl and Prof. Dr. Rudi Zagst for creating an ideal environ ment for research. I would also like to express my thanks to my coIleagues. It has been most enjoyable to work with them. In particular, I would like to thank Dr. Bernd Schmid. Our joint projects on stochastic implied volatil ity models greatly influenced this work. I am also indebted to Anja Fischer for valuable contributions during her internship and Didier Vermeiren (from Octanti Associates) for carefuIly reading the manuscript.