Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in market volatility, with significant impact on pricing and...

The volatility implied by observed market prices as a function of the strikeand time to maturity form an Implied Volatility Surface (IV S). Practicalapplications require reducing the dimension and characterize its dynamicsthrough a small number of factors. Such dimension reduction is...

In this paper, we present a case study, which describe the development of the Statistic e-learning-course in Arabic language –”Arabic MM*STAT”. The basic frame for this E-book, the system MM*STAT was developed at the School for Business and Economics of Humboldt-Universit¨at zu Berlin....

The implied volatility of a European option as a function of strike price and time to maturity forms a volatility surface. Traders price according to the dynamics of this high dimensional surface. Recent developments that employ semiparametric models approximate the implied volatility surface...