As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial … volatility surface (IVS) in a dynamic context, employing semiparametric factor functions and time-varying loadings. Because … financial asset volatilities move over time, across assets and over markets, this paper analyses volatility interaction between …

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management … of volatility. Moreover, non-parametric measures af systematic risk are attainable, that can straightforwardly be used to … the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns.In turn, this so …

Risiko verbinden ließe, wenn man nur die Finanzprodukte entsprechend gestaltete, hat sich diese Wahnvorstellung … Risikos angesprochen. -- pricing kernels ; risk aversion ; risk neutral density …

results obtained in applied probability theory. The precision and performance is demonstrated in a spectrum of simulations and … applied to growth curve data. Technically speaking, our paper intensively uses recent insights into extreme value theory that …

With the recent availability of high-frequency Financial data the long range dependence of volatility regained … researchers' interest and has lead to the consideration of long memory models for realized volatility. The long range diagnosis of … volatility, however, is usually stated for long sample periods, while for small sample sizes, such as e.g. one year, the …

pricing with both risk free asset and risky security, we propose a class of semiparametric regressions for a combination of a …

Traditionally volatility is viewed as a measure of variability, or risk, of an underlying asset. However recently … investors began to look at volatility from a different angle. It happened due to emergence of a market for new derivative … instruments - variance swaps. In this paper first we introduse the general idea of the volatility trading using variance swaps …

The implied volatility of a European option as a function of strike price and time to maturity forms a volatility … semiparametric models approximate the implied volatility surface (IVS) in a finite dimensional function space, allowing for a low … factors with movements in some macroeconomic variables of the Euro-economy. -- Implied volatility surface ; dynamic …