This paper analyzes empirical market utility functions and pricing kernelsderived from the DAX and DAX option data for three market regimes. Aconsistent parametric framework of stochastic volatility is used. All empiricalmarket utility functions show a region of risk proclivity that is...

Die Gestaltung der Produktpalette war ein zentrale Herausforderung für ostdeutsche Unternehmen nach der Wende. Spezialisierung oder eine diffuse Generalistenstrategie war die Frage. Welche Strategie sich durchgesetzt hat und ob der Anschluss an den Westen gelang, wird in dieser Arbeit erstmals...

The purpose of this paper is to sort out firm-related differences from effects that result from different economic structures. A non-parametric decomposition is used to analyse firm level difference between the wage spread in the two major regions of unified Germany. If firm-specific effects...

The vast majority of regions in West Germany, and the EU, have become more similar in terms of per-capita income and productivity between 1980 and 2000. But a number of rich areas - generally large agglomerations - have succeeded in departing from this trend ofconvergence. They are continuing to...

Functional principal component analysis (FPCA) based on theKarhunen-Lo`eve decomposition has been successfully applied in manyapplications, mainly for one sample problems. In this paper we consider common functional principal components for two sample problems. Our research is motivated not only...

Functional data analysis (FDA) has become a popular technique in applied statistics.In particular, this methodology has received considerable attention in recent studiesin empirical finance. In this talk we discuss selected topics of functional principalcomponents analysis that are motivated by...

Trading, hedging and risk analysis of complex option portfolios depend on accurate pricing models. The modelling of implied volatilities (IV) plays an important role, since volatility is the crucial parameter in the Black-Scholes (BS) pricing formula. It is well known from empirical studies that...

The Black-Scholes formula, one of the major breakthroughs of modern finance,allows for an easy and fast computation of option prices. But some of its assumptions, like constant volatility or log-normal distribution of asset prices,do not find justification in the markets. More complex models,...

We extend the definition of a convex risk measure to a conditionalframework where additional information is available. We characterize these riskmeasures through the associated acceptance sets and prove a representationresult in terms of conditional expectations. As an example we consider the...