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Computational statistics and data visualization
Unwin, Antony; Chen, Chun-houh; Härdle, Wolfgang Karl - 2007
Persistent link: https://www.econbiz.de/10010274124
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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
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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
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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
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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
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CDO Pricing with Copulae
Choroś, Barbara; Härdle, Wolfgang; Okhrin, Ostap - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009
Modeling the portfolio credit risk is one of the crucial issues of the last yearsin the financial problems. We propose the valuation model of Collateralized DebtObligations based on a one- and two-parameter copula and default intensities estimatedfrom market data. The presented method is used to...
Persistent link: https://www.econbiz.de/10005865449
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A MicroeconomicExplanation of the EPKParadox
Härdle, Wolfgang; Krätschmer, Volker; Moro, Rouslan Arthur - Sonderforschungsbereich Ökonomisches Risiko <Berlin>
Supported by several recent investigations the empirical pricing kernel paradox might beconsidered as a stylized fact. In Chabi-Yo et al. (2008) simulation studies have been presentedwhich suggest that this paradox might be caused by regime switching of stock prices in financialmarkets....
Persistent link: https://www.econbiz.de/10005865450
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Das Geschäft mit Derivaten und strukturierten Produkten : welche Rolle spielt die Bank?
Schmidt, Wolfgang M. - 2012
Das Geschäft mit Derivaten und strukturierten Finanzprodukten ist verstärkter Kritik ausgesetzt. Ziel des Aufsatzes ist die kritische Auseinandersetzung mit den Thesen der Kritiker und der Rolle der Bank bei den genannten Geschäften. -- Derivate ; strukturierte Produkte ; Bewertung ;...
Persistent link: https://www.econbiz.de/10009533397
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On the valuation of fader and discrete barrier options in Heston's Stochastic Volatility Model
Griebsch, Susanne; Wystup, Uwe - 2008
for exotic options with payoffs depending on finitely many spot values such as fader options and discretely monitored … barrier options. We compare our result with different numerical methods and examine accuracy and computational times. …
Persistent link: https://www.econbiz.de/10011293921
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Was kostet eine Garantie? : ein statistischer Vergleich der Rendite von langfristigen Anlagen
Becker, Christoph; Wystup, Uwe - 2008
Bei der Altersvorsorge von Privatanlegern ergibt sich in der derzeitigen Marktsituation die Frage nach der Einführung von Anlageprodukten mit Garantien. Garantien können sich auf das Kapital oder auf eine Mindestrendite beziehen. Produktvarianten können Fonds oder Zertifikate sein. Aus Furcht...
Persistent link: https://www.econbiz.de/10011293930