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Semi-parametric implied volatility surface models and forecasts based on a regression tree-boosting algorithm

Colangelo, Dominik ; Audrino, Francesco (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2009 ; 2009ECO006.

A new methodology for semi-parametric modelling of implied volatility surfaces is presented. This methodology is dependent upon the development of a feasible estimating strategy in a statistical learning framework. Given a reasonable starting model, a boosting algorithm based on regression trees sequentially minimizes generalized residuals computed as differences between observed and...