Implied volatility is one of the important topics in financial markets. Due to option data's characteristics, estimating implied volatility is a challenging task for both academia and industry. Dynamic Semiparametric Factor Model (DSFM) is method to model high-dimensional data with dynamic...

In today’s net-based technology culture, a new way of learning/teaching, accessing or preparing learning materials is finding root in Education. It is enabling individuals and institutions to play a more powerful and attractive role in the education process, referred to as e-learning....

The implied volatility of an option as a function of strike price and time to maturity forms a volatility surface. Traders price according to the dynamics of this high dimensional surface. Recent developments that employ semiparametric models approximate the implied volatility surface (IVS) in a...

In this master thesis a mechanism to test mononicity of empirical pricing kernels (EPK) is presented. By testing monotonicity of pricing kernel we can determine whether utility function is concave or not. Strictly decreasing pricing kernel corresponds to concave utility function while...

Seit der Entdeckung der arbitragefreien Bewertung hat sich das Gebiet finance grundlegend geändert - sowohl in der Theorie als auch in der Anwendung. Märkte für Derivate haben sich entwickelt und Optionen dienen heutzutage als Basis- und als Absicherungsinstrumente. In dieser Dissertation...