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~person:"Härdle, Wolfgang"
~type_genre:"Arbeitspapier"
~type_genre:"Government document"
~type_genre:"Sammelwerk"
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Option pricing theory
36
Optionspreistheorie
36
Volatility
17
Volatilität
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16
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16
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11
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Härdle, Wolfgang
Knieps, Günter
100
Verhoef, Erik T.
92
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44
Platen, Eckhard
44
Peitz, Martin
42
Levy, Daniel C.
41
Proost, Stef
39
Chiarella, Carl
37
Zhang, Lu
37
Schjelderup, Guttorm
35
Gans, Joshua
33
Hens, Thorsten
32
Janssen, Maarten C. W.
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Diewert, Walter E.
31
Ommeren, Jos van
31
De Borger, Bruno L.
30
Kind, Hans Jarle
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28
Haucap, Justus
28
Herings, Peter Jean-Jacques
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28
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27
He, Xue-zhong
27
Rouwendal, Jan
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Vayanos, Dimitri
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26
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26
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Jeon, Doh-Shin
25
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25
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25
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24
Berg, Vincent A. C. van den
24
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24
Rietveld, Piet
24
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23
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ECONIS (ZBW)
41
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1
Inflation co-movement across countries in multi-maturity term structure : an arbitrage-free approach
Chen, Shi
;
Härdle, Wolfgang
;
Wang, Weining
-
2015
Inflation expectation is acknowledged to be an important indicator for policy makers and financial investors. To capture a more accurate real-time estimate of inflation expectation on the basis of financial markets, we propose an arbitrage-free model across different countries in a...
Persistent link: https://www.econbiz.de/10011389060
Saved in:
2
Dynamic valuation of weather derivatives under default risk
Härdle, Wolfgang
;
Osipenko, Maria
-
2017
risk can transfer it to nancial markets via weather derivatives. We develop a utility-based model for
pricing
baskets of …
Persistent link: https://www.econbiz.de/10011598925
Saved in:
3
Understanding jumps in high frequency digital asset markets
Saef, Danial
;
Nagy, Odett
;
Sizov, Sergej
;
Härdle, Wolfgang
-
2021
. This provides fundamental research for crypto option
pricing
models. However, we need better econometric methods for …
Persistent link: https://www.econbiz.de/10012657696
Saved in:
4
Downside risk and stock returns : an empirical analysis of the long-run and short-run dynamics from the G-7 Countries
Chen, Cathy Yi-Hsuan
;
Chiang, Thomas C.
;
Härdle, Wolfgang
-
2016
This paper presents presents presents a fractionally cointegrated vector autoregression (FCVAR) (FCVAR) (FCVAR) (FCVAR) model to examine to examine to examine to examine to examine to examine to examine various relations between stock returns and downside risk. Evidence from major advanced...
Persistent link: https://www.econbiz.de/10011437764
Saved in:
5
Hedging cryptocurrency options
Matic, Jovanka
;
Packham, Natalie
;
Härdle, Wolfgang
-
2021
The cryptocurrency (CC) market is volatile, non-stationary and non-continuous. This poses unique challenges for
pricing
…
Persistent link: https://www.econbiz.de/10012666345
Saved in:
6
Pricing
kernel modeling
Belomestny, Denis
;
Ma, Shujie
;
Härdle, Wolfgang
-
2015
We propose a new method to estimate the empirical
pricing
kernel based on option data. We estimate the
pricing
kernel …
Persistent link: https://www.econbiz.de/10010462645
Saved in:
7
Textual sentiment, option characteristics, and stock return predictability
Chen, Cathy Yi-Hsuan
;
Fengler, Matthias
;
Härdle, Wolfgang
-
2018
Persistent link: https://www.econbiz.de/10011912921
Saved in:
8
Modeling asset prices
Gentle, James E.
;
Härdle, Wolfgang
-
2010
, the rate of return, over some interval of time. The purpose of asset
pricing
models is not for prediction of future prices …
Persistent link: https://www.econbiz.de/10003973644
Saved in:
9
Leveraged ETF options implied volatility paradox : a statistical study
Härdle, Wolfgang
;
Nasekin, Sergey
;
Hong, Zhiwu
-
2016
In this paper, we study the statistical properties of the moneyness scaling transformation by Leung and Sircar (2015). This transformation adjusts the moneyness coordinate of the implied volatility smile in an attempt to remove the discrepancy between the IV smiles for levered and unlevered ETF...
Persistent link: https://www.econbiz.de/10011437891
Saved in:
10
Functional principal component analysis for derivatives of multivariate curves
Grith, Maria
;
Härdle, Wolfgang
;
Kneip, Alois
;
Wagner, Heiko
-
2016
We present two methods based on functional principal component analysis (FPCA) for the estimation of smooth derivatives of a sample of random functions, which are observed in a more than one-dimensional domain.We apply eigenvalue decomposition to a) the dual covariance matrix of the derivatives,...
Persistent link: https://www.econbiz.de/10011530075
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