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Malliavin's calculus in insider models : additional utility and free lunches

Imkeller, Peter - 2002

We consider simple models of financial markets with regular traders and insiders possessing some extra information hidden in a random variable which is accessible to the regular trader only at the end of the trading interval. The problems we focus on are the calculation of the additional utility...

Persistent link: https://www.econbiz.de/10009620768

Flexible stochastic volatility structures for high frequency financial data

Feldmann, David; Härdle, Wolfgang; Hafner, Christian M.; … - 1998

Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric …

Persistent link: https://www.econbiz.de/10009578026

Modeling the interdependence of volatility and inter-transaction duration processes

Grammig, Joachim; Wellner, Marc - 1999

simultaneous estimation of the interdependent duration-volatility model. In an empirical application we utilize the model for an … indirect test of the hypothesis that volatility is caused by private information that affects prices when informed investors … trade. The result that volatility shocks significantly increase expected inter-transaction durations supports this …

Persistent link: https://www.econbiz.de/10009579173

Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis

Hafner, Christian M.; Herwartz, Helmut - 1999

prices caused by stochastic volatility. -- option pricing ; autoregression ; heteroskedasticity ; GARCH ; leverage effect …

Persistent link: https://www.econbiz.de/10009580460

Risk premia and financial modelling without measure transformation

Platen, Eckhard - 2000

This paper describes a financial market modelling framework that exploits the notion of a deflator . The denominations of the deflator measured in units of primary assets form a minimal set of basic financial quantities that completely specify the overall market dynamics, where deflated asset...

Persistent link: https://www.econbiz.de/10009612031

A local instrumental estimation method for generalized additive volatility models

Kim, Woocheol; Linton, Oliver - 2000

We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature. We also propose a new estimation procedure based on a localization of the econometric method of instrumental variables. Our method has...

Persistent link: https://www.econbiz.de/10009612037

Financial price fluctuations in a stock market model with many interacting agents

Horst, Ulrich - 2001

We consider a financial market model with a large number of interacting agents. Investors are heterogeneous in their expectations about the future evolution of an asset price process. Their current expectation is based on the previous states of their "neighbors" and on a random signal about the...

Persistent link: https://www.econbiz.de/10009613599

Semiparametric diffusion estimation and application to a stock market index

Härdle, Wolfgang; Kleinow, Torsten; Korostelev, … - 2001

The analysis of diffusion processes in financial models is crucially dependent on the form of the drift and diffusion coefficient functions. A methodology is proposed for estimating and testing coefficient functions for ergodic diffusions that are not directly observable. It is based on...

Persistent link: https://www.econbiz.de/10009613611

Quantifying the value of initial investment information

Amendinger, Jürgen; Becherer, Dirk; Schweizer, Martin - 2000

We consider an investor maximizing his expected utility from terminal wealth with portfolio decisions based on the available information flow. This investor faces the opportunity to acquire some additional initial information G.. The subjective fair value of this information for the investor is...

Persistent link: https://www.econbiz.de/10009583881

Quantile hedging

Föllmer, Hans; Leukert, Peter - 1998

which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at …

Persistent link: https://www.econbiz.de/10009574876