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Conditional systemic risk with penalized copula

Okhrin, Ostap; Ristig, Alexander; Sheen, Jeffrey R.; … - 2015

Financial contagion and systemic risk measures are commonly derived from conditional quantiles by using imposed model assumptions such as a linear parametrization. In this paper, we provide model free measures for contagion and systemic risk which are independent of the specifcation of...

Persistent link: https://www.econbiz.de/10011380687

Computational statistics and data visualization

Unwin, Antony; Chen, Chun-houh; Härdle, Wolfgang Karl - 2007

Persistent link: https://www.econbiz.de/10010274124

Leveraged ETF options implied volatility paradox: A statistical study

Härdle, Wolfgang Karl; Nasekin, Sergey; Hong, Zhiwu - 2016

discrepancy between the IV smiles for levered and unlevered ETF options. We construct bootstrap uniform confidence bands which … options which possibly have a positive value at the point of creation and non-negative value at the expiration time. An … ETF options to construct theoretical one-step-ahead implied volatility surfaces. The codes used to obtain the results in …

Persistent link: https://www.econbiz.de/10011531880

Long memory persistence in the factor of Implied volatility dynamics

Härdle, Wolfgang Karl; Mungo, Julius - 2007

The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small number of factors. Such dimension reduction is...

Persistent link: https://www.econbiz.de/10010274129

Continuous equilibrium under base preferences and attainable initial endowments

Horst, Ulrich; Kupper, Michael; Macrina, Andrea; … - 2011

simultaneously-traded European-style options. …

Persistent link: https://www.econbiz.de/10010281543

Functional principal component analysis for derivatives of multivariate curves

Grith, Maria; Härdle, Wolfgang Karl; Kneip, Alois; … - 2016

interpreted as volatility, skewness and tail factors.We also find evidence for term structure variation. …

Persistent link: https://www.econbiz.de/10011580431

Spectral calibration of exponential Lévy

Belomestny, Denis; Reiß, Markus - 2006

We investigate the problem of calibrating an exponential Lévy model based on market prices of vanilla options. We show …

Persistent link: https://www.econbiz.de/10010263640

Perpetual barrier options in jump-diffusion models

Gapeev, Pavel V. - 2006

We present a closed form solution to the perpetual American double barrier call option problem in a model driven by Brownian motion and a compound Poisson process with exponential jumps. The method of proof is based on reducing the inital irregular optimal stopping problem to an...

Persistent link: https://www.econbiz.de/10010263649

Spectral calibration of exponential Lévy

Belomestny, Denis; Reiß, Markus - 2006

Persistent link: https://www.econbiz.de/10010265658

Polar sets of anisotropic Gaussian random fields

Söhl, Jakob - 2009

This paper studies polar sets of anisotropic Gaussian random fields, i.e. sets which a Gaussian random field does not hit almost surely. The main assumptions are that the eigenvalues of the covariance matrix are bounded from below and that the canonical metric associated with the Gaussian random...

Persistent link: https://www.econbiz.de/10010270700