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Computational statistics and data visualization

Unwin, Antony (contributor); Chen, Chun-houh (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003633608

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/10011309638

Leveraged ETF options implied volatility paradox : a statistical study

Härdle, Wolfgang; 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/10011437891

Empirical pricing kernels and investor preferences

Detlefsen, Kai (contributor); Härdle, Wolfgang (contributor) - 2007

This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility functions show a region of risk proclivity that is...

Persistent link: https://www.econbiz.de/10003633572

Statistics of risk aversion

Giacomini, Enzo (contributor); Härdle, Wolfgang (contributor) - 2007

Persistent link: https://www.econbiz.de/10003633711

Numerics of implied binomial trees

Härdle, Wolfgang (contributor); … - 2008

Market option prices in last 20 years confirmed deviations from the Black and Scholes (BS) models assumptions, especially on the BS implied volatility. Implied binomial trees (IBT) models capture the variations of the implied volatility known as "volatility smile". They provide a discrete...

Persistent link: https://www.econbiz.de/10003727608

Calibration design of implied volatility surfaces

Detlefsen, Kai (contributor); Härdle, Wolfgang (contributor) - 2006

this end, we calibrate the Heston model to a time series of DAX implied volatility surfaces and then price cliquet options …

Persistent link: https://www.econbiz.de/10003324186

CDO and HAC

Choroś, Barbara; Härdle, Wolfgang; Okhrin, Ostap - 2009

Modelling portfolio credit risk is one of the crucial challenges faced by financial services industry in the last few years. We propose the valuation model of collateralized debt obligations (CDO) based on copula functions with up to three parameters, with default intensities estimated from...

Persistent link: https://www.econbiz.de/10003871765

Representations for optimal stopping under dynamic monetary utility functionals

Krätschmer, Volker; Schoenmakers, John - 2009

In this paper we consider the optimal stopping problem for general dynamic monetary utility functionals. Sufficient conditions for the Bellman principle and the existence of optimal stopping times are provided. Particular attention is payed to representations which allow for a numerical...

Persistent link: https://www.econbiz.de/10003905569

Polar sets of anisotropic Gaussian random fields

Söhl, Jakob - 2009

This paper studies polar sets of anisotropic Gaussian random elds, i.e. sets which a Gaussian random eld 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 eld...

Persistent link: https://www.econbiz.de/10003905608