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Der Informationsgehalt von Derivaten für die Geldpolitik: Implizite Volatilitäten und Wahrscheinlichkeiten

Neuhaus, Holger - 1995

There is much discussion about derivatives at central banks. The main focus is on questions about the impact of the growing use of derivative instruments on the stability of the financial markets and the effectiveness ofmonetary policy measures. Irrespective ofthe answers, the information...

Persistent link: https://www.econbiz.de/10010478816

The information content of derivatives for monetary policy: Implied volatilities and probabilities

Neuhaus, Holger - 1995

Persistent link: https://www.econbiz.de/10010478817

Modeling electricity spot prices - Combining mean-reversion, spikes and stochastic volatility

Mayer, Klaus; Schmid, Thomas; Weber, Florian - 2011

an approach to model spot prices that combines mean-reversion, spikes and stochastic volatility. Thereby we use different …

Persistent link: https://www.econbiz.de/10010305714

Unifying exotic option closed formulas

Esquível, Manuel L.; Veiga, Carlos; Wystup, Uwe - 2010

This paper aims to unify exotic option closed formulas by generalizing a large class of existing formulas and by setting a framework that allows for further generalizations. The formula presented covers options from the plain vanilla to most, if not all, mountain range exotic options and is...

Persistent link: https://www.econbiz.de/10010301702

A call on Art investments

Kraeussl, Roman; Wiehenkamp, Christian - 2010

The art market has seen boom and bust during the last years and, despite the downturn, has received more attention from investors given the low interest environment following the financial crisis. However, participation has been reserved for a few investors and the hedging of exposures remains...

Persistent link: https://www.econbiz.de/10010303744

Option replication with large transactions costs

Reiß, Ariane - 1997

In this paper we addressed the problem of determining the optimal replicating strategy for a European call option under differential transactions costs. We derived an upper boundary for the cost factor in a market where all Investors face the same factor. This upper boundary ensures the...

Persistent link: https://www.econbiz.de/10010435527

Implied volatility of foreign exchange options: Is it worth tracking?

Gereben, Áron; Pintér, Klára - 2005

Market analysts and central banks often use the implied volatility of FX options as an indicator of expected exchange … deviate the value of implied volatility from the exchange rate variability expected by the market. These biasing factors are … one month. However, implied volatility provides a biased estimate, and does not encompass the information included in …

Persistent link: https://www.econbiz.de/10010322417

Spectral estimation of the fractional order of a Lévy process

Belomestny, Denis - 2009

We consider the problem of estimating the fractional order of a Lévy process from low frequency historical and options data. An estimation methodology is developed which allows us to treat both estimation and calibration problems in a unified way. The corresponding procedure consists of two...

Persistent link: https://www.econbiz.de/10010263764

Polar sets of anisotropic Gaussian random fields

Söhl, Jakob - 2009

This paper studies polar sets of anisotropic Gaussian random fields, i.e. sets which a Gaussian random field does not hit almost surely. The main assumptions are that the eigenvalues of the covariance matrix are bounded from below and that the canonical metric associated with the Gaussian random...

Persistent link: https://www.econbiz.de/10010270700

American Options, Multi-armed Bandits, and Optimal Consumption Plans : A Unifying View

Bank, Peter; Föllmer, Hans - 2003

In this survey, we show that various stochastic optimization problems arising in option theory, in dynamical allocation … problems, and in the microeconomic theory of intertemporal consumption choice can all be reduced to the same problem of …

Persistent link: https://www.econbiz.de/10010296481