Dynamic term structure models (DTSMs) price interest rate derivatives based on the modelimplied fair values of the yield curve, ignoring any pricing residuals on the yield curve that are either from model approximations or market imperfections. In contrast, option pricing in practice often takes...

Hochdimensionale Regressionsprobleme, die sich dynamisch entwickeln, sind in zahlreichen Bereichen der Wissenschaft anzutreffen. Die Dynamik eines solchen komplexen Systems wird typischerweise mittels der Zeitreiheneigenschaften einer geringen Anzahl von Faktoren analysiert. Diese Faktoren...

An vielen verschiedenen Stellen der angewandten Statistik sind die zu untersuchenden Objekte abhängig von stetigen Parametern. Typische Beispiele in Finanzmarktapplikationen sind implizierte Volatilitäten, risikoneutrale Dichten oder Zinskurven. Aufgrund der Marktkonventionen sowie weiteren...

Implied volatility is an important element in risk management and option pricing. Black-Scholes model assumes a constant volatility, however, the evidence from financialmarket shows that the volatility is not constant but change with strike and time tomaturity. In this paper, the time to...

We propose simple sequential calibration for an asset price model driven by piecewise Lévy processes, for which simulation methods and Greeks formulas are available. The proposed methods are easy to implement and consist of fitting a sequence of Lévy processes to a return series such that they...

This paper demonstrates that crude estimators can correctly identify statistically significant technical patterns in major index data. The introduction of intra-day prices significantly improves a crude estimators’ ability to identify technical barriers. Double tops are associated with...

Economists and others need estimates of future cash price volatility to use in risk management evaluation and education programs. This paper evaluates the performance of alternative volatility forecasts for fed cattle, feeder cattle, and corn cash price returns. Forecasts include time series...

This study proposes an alternative approach for examining volatility linkages between Standard & Poor's 500, Eurodollar futures and 30 year Treasury Bond futures markets using implied volatility from the three markets. Simple correlation analysis between implied volatilities in the three markets...

Chapter 1 of the dissertation investigates the firms' restructuring choice between minority carve-outs and tracking stocks using samples during 1990-2001. The extra compensation from the restructured units, the liquidity conditions, and the preservation of synergy are the significant factors...

The paper analyzes foreign investment and asset prices in a context of uncertainty over future government policy. The model endogenizes the process of learning by foreign investors facing a potentially opportunistic government, which chooses strategically the timing of a policy reversal in order...