Inverse problems in finance

DOI10.1142/9789814436434_0003MaRDI QIDQ2849671zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Kaczmarz methodcalibrationinverse problemsgradient methodsill-posednessBlack-Scholes modelimplied volatilityNewton's methodvanilla optionsDupire's equation

Mathematics Subject Classification ID

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)

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(24)

• 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
• An inverse volatility problem of financial products linked with gold price
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• Calibrating local volatility in inverse option pricing using the Levenberg-Marquardt method
• scientific article; zbMATH DE number 2030325 (Why is no real title available?)
• On local regularization for an inverse problem of option pricing
• 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 linearization-based solution to an inverse problem in financial markets
• A PDE method for estimation of implied volatility
• Numerical identification of time-dependent volatility in European options with two-stage regime-switching
• Valuation of volatility derivatives as an inverse problem
• On decoupling of volatility smile and term structure in inverse option pricing
• 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.
• Reconstructing local volatility using total variation

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