The problem of approximating a general regression function m(x)= E(Y|X=x) is addressed. As in the case of the classical L2-type projection pursuit regression considered by Hall (1989), we propose to approximate m(x) through a regression of Y given an index, that is a unidimensional projection of X.

An important class of structural econometric models (nonlinear rational expectations,option pricing, auction models,...) characterize observable variables as highly nonlinear transformations of some latent variables. These transformations are one-to-one but they depend on the unknown...

In this paper, we survey some of the recent nonparapmetric estimation methods which were developed to price derivative contracts. We focus on equity options and staart with a so-called model-free approach which involves very little financial theory. Next we discuss nonparametric and...