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A semiparametric factor model for electricity forward curve dynamics

Borak, Szymon; Weron, Rafał - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

In this paper we introduce the dynamic semiparametric factor model (DSFM) for electricity forward curves. The biggest advantage of our approach is that it not only leads to smooth, seasonal forward curves extracted from exchange traded futures and forward electricity contracts, but also to a...

Persistent link: https://www.econbiz.de/10005207927

A Microeconomic Explanation of the EPK Paradox

Härdle, Wolfgang; Krätschmer, Volker; Moro, Rouslan - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

Supported by several recent investigations the empirical pricing kernel paradox might be considered as a stylized fact. In Chabi-Yo et al. (2008) simulation studies have been presented which suggest that this paradox might be caused by regime switching of stock prices in financial markets....

Persistent link: https://www.econbiz.de/10005207934

CDO Pricing with Copulae

Choros, Barbara; Härdle, Wolfgang; Okhrin, Ostap - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

Modeling the portfolio credit risk is one of the crucial issues of the last years in the financial problems. We propose the valuation model of Collateralized Debt Obligations based on a one- and two-parameter copula and default intensities estimated from market data. The presented method is used...

Persistent link: https://www.econbiz.de/10005207938

Confidence sets in nonparametric calibration of exponential Lévy models

Söhl, Jakob - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012

Confidence intervals and joint confidence sets are constructed for the nonparametric calibration of exponential Lévy models based on prices of European options. This is done by showing joint asymptotic normality for the estimation of the volatility, the drift, the intensity and the Lévy...

Persistent link: https://www.econbiz.de/10009651905

Calibration of selfdecomposable Lévy models

Trabs, Mathias - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011

measure alpha:= k(0+) + k(0-) and analog parameters for the derivatives are considered and on the other hand we estimate the k …

Persistent link: https://www.econbiz.de/10009367416

Pricing Chinese rain: a multi-site multi-period equilibrium pricing model for rainfall derivatives

Härdle, Wolfgang; Osipenko, Maria - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011

Many industries are exposed to weather risk which they can transfer on financial markets via weather derivatives … payoffs of portfolio positions. We extend the model to a multisite version and apply it to pricing rainfall derivatives for … derivatives on cumulative monthly rainfall. Dynamic portfolio optimization under market clearing and utility indifference of these …

Persistent link: https://www.econbiz.de/10009275681

Implied Basket Correlation Dynamics

Härdle, Wolfgang Karl; Silyakova, Elena - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012

Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between assets and thus measures the degree of portfolio diversification. It can be estimated both under the physical measure from return series, and under the risk neutral measure from...

Persistent link: https://www.econbiz.de/10010607150

Option calibration of exponential Lévy models: Implementation and empirical results

Söhl, Jacob; Trabs, Mathias - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012

Observing prices of European put and call options, we calibrate exponential Lévy models nonparametrically. We discuss the implementation of the spectral estimation procedures for Lévy models of finite jump activity as well as for self-decomposable Lévy models and improve these methods....

Persistent link: https://www.econbiz.de/10010609987

Estimation of the characteristics of a Lévy process observed at arbitrary frequency

Kappus, Johanna; Reiß, Markus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010

A Lévy process is observed at time points of distance delta until time T. We construct an estimator of the Lévy-Khinchine characteristics of the process and derive optimal rates of convergence simultaneously in T and delta. Thereby, we encompass the usual low- and high-frequency assumptions...

Persistent link: https://www.econbiz.de/10008629514

Illiquidity and Derivative Valuation

Horst, Ulrich; Naujokat, Felix - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010

the dynamics of the underlying. We provide a mathematical framework within which to value derivatives under market impact …

Persistent link: https://www.econbiz.de/10008629516