We discuss the functional principal component analysis (FPCA) of the occupation times of the Ornstein–Uhlenbeck process. For the eigenvalue problem of the covariance operator of the occupation times we derive the corresponding integral equation in the large time limit and we solve numerically...

The “Caterpillar”-SSA (Principal Components of Time Series: Caterpillar Method, St. Petersburg University Press, 1997; Analysis of Time Series Structure: SSA and Related Techiques, Chapman & Hall/CRC, London/Boca Raton, FL, 2001) and statistical analysis based on the joint utilization of χ2 and...

This paper explains in non-technical terms various techniques used to measure volatility ranging from time invariant measures to time variant measures. It is shown that a weakness of the former measures arises from the underlying assumption that volatility is considered to be constant over time....

By investigating currency futures options, this paper provides an alternative economic implication for the result reported by Stein [Overreactions in the options market, Journal of Finance 44 (1989) 1011–1023] that long-maturity options tend to overreact to changes in the implied volatility of...

An approximate formula for the Black–Scholes implied volatility is given by means of an asymptotic representation of the Black–Scholes formula. This representation is based on a variable change that reduces the number of meaningful variables from five to three. It is stated clearly which is...

This paper examines the accuracy of implied volatility and GARCH forecasted volatility to predict the behavior of realized volatility. The methodology adopted addresses the information content, the bias, the efficiency and the efficiency forecast of the predictor.