Similar Search Results

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

Reference dependent preferences and the EPK puzzle

Grith, Maria; Karl Härdle, Wolfgang; Krätschmer, Volker - 2013

Supported by several recent investigations, the empirical pricing kernel (EPK) puzzle might be considered a stylized fact. Based on an economic model with state dependent preferences for the financial investors, we want to emphasize a microeconomic view that succeeds in explaining the puzzle. We...

Persistent link: https://www.econbiz.de/10010321478

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