exchange the paper compares estimation results of parametric and nonparametric autoregressive models with respect to possible …

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

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

The third generation UMTS auction in Germany raised an enormous amount of revenue, and at the same time achieved a more … competitive market structure than other UMTS auctions in Europe. The present paper explains the design of that auction, and … presents a game theoretic explanation of observed events during the crucial phase of that auction, which have puzzled several …

considerations. It addresses the problems of finding the auction that yields the greatest expected revenues to the auctioneer and …) auctions are analysed. The analysis focuses on the strategic aspect of the bidding process, i.e. the game-theoretic auction …

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