SFB 649 Discussion Paper 2005-060 Portfolio Value at Risk Based on Independent Components Analysis Ying Chen* ** Wolfgang Härdle* Vladimir Spokoiny* ** * CASE - Center for Applied Statistics and Economics, Humboldt-Universität zu Berlin ** Weierstraß -...

SFB 649 Discussion Paper 2006-051 Regression methods in pricing American and Bermudan options using consumption processes Denis Belomestny* Grigori N. Milstein** Vladimir Spokoiny* * Weierstrass Institute for Applied Analysis and Stochastics, Berlin, Germany...