Inverse problems in finance
DOI10.1142/9789814436434_0003zbMATH Open1282.91372OpenAlexW2494203137MaRDI QIDQ2849671FDOQ2849671
Authors: J. Baumeister 
Publication date: 24 September 2013
Published in: Recent Developments in Computational Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/9789814436434_0003
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- scientific article; zbMATH DE number 5908063
Kaczmarz methodcalibrationinverse problemsgradient methodsill-posednessBlack-Scholes modelimplied volatilityNewton's methodvanilla optionsDupire's equation
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04) Inverse problems for PDEs (35R30) Financial applications of other theories (91G80)
Cited In (24)
- An inverse volatility problem of financial products linked with gold price
- Calibrating local volatility in inverse option pricing using the Levenberg-Marquardt method
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- Ill-posedness versus ill-conditioning–an example from inverse option pricing
- Financial inverse problem and reconstruction of infinitely divisible distributions with Gaussian component
- An inverse parabolic problem arising in finance
- On the nature of ill-posedness of an inverse problem arising in option pricing
- Inverse problem stability of a continuous-in-time financial model
- A PDE method for estimation of implied volatility
- Numerical identification of time-dependent volatility in European options with two-stage regime-switching
- On decoupling of volatility smile and term structure in inverse option pricing
- A linearization-based solution to an inverse problem in financial markets
- Valuation of volatility derivatives as an inverse problem
- Inference on sets in finance
- Recovery of the local volatility function using regularization and a gradient projection method
- Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
- VOLATILITY SMILE BY MULTILEVEL LEAST SQUARE
- Time reversal invariance in finance
- A stability estimate of an inverse problem in financial prospection.
- Bayesian inference approach to inverse problems in a financial mathematical model
- Regularisation of inverse problems and its application to the calibration of option price models
- Reconstructing local volatility using total variation
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