A primary goal in modelling the implied volatility surface (IVS) for pricing andhedging aims at reducing complexity. For this purpose one fits the IVS each dayand applies a principal component analysis using a functional norm. This approach, however, neglects the degenerated string structure of...

In this paper we propose the GHADA risk management model that is based on the generalized hyperbolic (GH) distribution and on a nonparametric adaptive methodology. Compared to the normal distribution, the GH distribution possesses semi-heavy tails and represents the financial risk factors more...