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Valuation of collateralized debt obligations with hierarchical Archimedean copulae

Choroś-Tomczyk, Barbara; Härdle, Wolfgang; Okhrin, Ostap - In: Journal of empirical finance 24 (2013), pp. 42-62

Persistent link: https://www.econbiz.de/10010371991

Statistical tools for finance and insurance

Čížek, Pavel (contributor); Härdle, Wolfgang (contributor) - 2005

-instructional book makes a good use of extensive examples and full explanations. Thedesign of the text links theory and computational … the Scale in the Gamma Family.- Pricing of Catastrophe (CAT) Bonds.- Extreme Value Theory - Modeling and Financial … Theory.- Diffusion Approximation in Risk Theory …

Persistent link: https://www.econbiz.de/10002123307

The integration of credit default swap markets in the pre and post-subprime crisis in common stochastic trends

Chen, Cathy Yi-hsuan; Härdle, Wolfgang; Thu, Hien Pham - 2014

It was evident that credit default swap (CDS) spreads have been highly correlated during the recent financial crisis. Motivated by this evidence, this study attempts to investigate the extent to which CDS markets across regions, maturities and credit ratings have integrated more in crisis. By...

Persistent link: https://www.econbiz.de/10010399421

Localising temperature risk

Härdle, Wolfgang; López Cabrera, Brenda; Okhrin, Ostap; … - 2010

On the temperature derivative market, modeling temperature volatility is an important issue for pricing and hedging. In …

Persistent link: https://www.econbiz.de/10008772624

State price densities implied from weather derivatives

Härdle, Wolfgang; López Cabrera, Brenda; Teng, Huei-Wen - In: Insurance / Mathematics & economics 64 (2015), pp. 106-125

Persistent link: https://www.econbiz.de/10011397955

Functional principal component analysis for derivatives of multivariate curves

Grith, Maria; Härdle, Wolfgang; Kneip, Alois; Wagner, Heiko - 2016

We present two methods based on functional principal component analysis (FPCA) for the estimation of smooth derivatives of a sample of random functions, which are observed in a more than one-dimensional domain.We apply eigenvalue decomposition to a) the dual covariance matrix of the derivatives,...

Persistent link: https://www.econbiz.de/10011530075

State Price Densities implied from weather derivatives

Härdle, Wolfgang; López Cabrera, Brenda; Teng, Huei-wen - 2013

A State Price Density (SPD) is the density function of a risk neutral equivalent martingale measure for option pricing, and is indispensible for exotic option pricing and portfolio risk management. Many approaches have been proposed in the last two decades to calibrate a SPD using financial...

Persistent link: https://www.econbiz.de/10009741915

Calibration of parametric CAT bonds : a case study of Mexican earthquakes

Härdle, Wolfgang; López Cabrera, Brenda - In: Schmollers Jahrbuch : journal of contextual economics 128 (2008) 4, pp. 615-630

Persistent link: https://www.econbiz.de/10003786603

Dynamic semiparametric factor models in risk neutral density estimation

Giacomini, Enzo (contributor); Härdle, Wolfgang (contributor) - 2008

Dimension reduction techniques for functional data analysis model and approximate smooth random functions by lower dimensional objects. In many applications the focus of interest lies not only in dimension reduction but also in the dynamic behaviour of the lower dimensional objects. The most...

Persistent link: https://www.econbiz.de/10003727490

Modeling dependencies in finance using copulae

Härdle, Wolfgang (contributor); Okhrin, Ostap (contributor) - 2008

In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the …

Persistent link: https://www.econbiz.de/10003727552

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