SFB 649 Discussion Paper 2005-006 Conditional and Dynamic Convex Risk Measures Kai Detlefsen* Giacomo Scandolo** * CASE - Center of Applied Statistics and Economics, Humboldt-Universität zu Berlin, Germany ** Department of Mathematics for Economic Decisions,...

SFB 649 Discussion Paper 2006-001 Calibration Risk for Exotic Options Kai Detlefsen* Wolfgang K. Härdle** * CASE - Center for Applied Statistics and Economics, Humboldt-Universität zu Berlin, Germany This research was supported by the Deutsche...

SFB 649 Discussion Paper 2006-052 Forecasting the Term Structure of Variance Swaps Kai Detlefsen* Wolfgang Härdle* * Center for Applied Statistics and Economics (C.A.S.E.), School of Business and Economics, Humboldt-Universität zu Berlin, Germany This...