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Constrained General Regression in Pseudo-Sobolev Spaces with Application to Option Pricing
Hlávka, Zdeněk; Pešta, Michal - Sonderforschungsbereich Ökonomisches Risiko <Berlin>
State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space...
Persistent link: https://www.econbiz.de/10005854964
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Numerics of Implied Binomial Trees
Härdle, Wolfgang; Mysickova, Alena - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008
with the estimation from the simulated process, though the BC method shows smaller deviations in case of high interest rate …
Persistent link: https://www.econbiz.de/10005860517
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Calibration Risk for Exotic Options
Detlefsen, Kai; Härdle, W. K. - Sonderforschungsbereich Ökonomisches Risiko <Berlin>
Option pricing models are calibrated to market data of plain vanillas by minimization of an error functional. From the economic viewpoint, there are several possibilities to measure the error between the market and the model. These different specifications of the error give rise to different...
Persistent link: https://www.econbiz.de/10005854720
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Optimal Smoothing for aComputationally andStatistically Efficient SingleIndex Estimator
Xia, Yingcun; Härdle, Wolfgang; Linton, Oliver - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009
from inefficient estimation methods or technical diffculties.Based on local linear kernel smoother, we propose an … estimation method to estimate the single-index modelwithout under-smoothing. Under some conditions, our estimator of the single … ourestimator and use them to define an optimal bandwidth for the purposes of index estimation. As aresult we obtain a practically …
Persistent link: https://www.econbiz.de/10008939775
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Measuring and Modeling Risk Using High-Frequency Data
Härdle, Wolfgang; Hautsch, Nikolaus; Pigorsch, Uta - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008
Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management. The recent availability of high-frequency data allows for refined methods in this field. In particular, more precise measures for the daily or lower frequency volatility can be...
Persistent link: https://www.econbiz.de/10005860514
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Independent Component Analysis Via Copula Techniques
Chen, Ray-Bing; Guo, Meihui; Härdle, Wolfgang; Huang, … - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007
Independent component analysis (ICA) is a modern factor analysis tool developed in the last two decades. Given p-dimensional data, we search for that linear combination of data which creates (almost) independent components. Here copulae are used to model the p-dimensional data and then...
Persistent link: https://www.econbiz.de/10005860753
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Adaptive pointwise estimation in time-inhomogeneous time-series models
Cizek, Pavel; Härdle, Wolfgang; Spokoiny, Vladimir - Sonderforschungsbereich Ökonomisches Risiko <Berlin>
This paper offers a new method for estimation and forecasting of the linear and nonlinear time series when the … the particular case of GARCH estimation, the proposed method is applied to stock-index series and is shown to outperform …
Persistent link: https://www.econbiz.de/10005860756
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De copulis non estdisputandum Copulae: An Overview
Härdle, Wolfgang; Okhrin, Ostap - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009
Normal distribution of the residuals is the traditional assumption in the classicalmultivariate time series models. Nevertheless it is not very often consistent with the real data.Copulae allows for an extension of the classical time series models to nonelliptically distributedresiduals. In this...
Persistent link: https://www.econbiz.de/10005865416
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Time Dependent Relative Risk Aversion
Giacomini, Enzo; Handel, Michael; Härdle, Wolfgang K. - Sonderforschungsbereich Ökonomisches Risiko <Berlin>
Risk management and the thorough understanding of the relations betweenfinancial markets and the standard theory of macroeconomics have always been among the topics most addressed by researchers, both financial mathematicians and economists. This work aims at explaining investors behavior from a...
Persistent link: https://www.econbiz.de/10005854712
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Dynamic Semiparametric Factor Models in RiskNeutral Density Estimation
Giacomini, Enzo; Härdle, Wolfgang; Krätschmer, Volker - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008
Dimension reduction techniques for functional data analysis model and approximate smooth random functions by lower dimensional objects. In many applications the focus of interest lies not only in dimension reduction but also in the dynamic behaviour of the lower dimensional objects. The most...
Persistent link: https://www.econbiz.de/10005860527