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The dynamics of implied volatilities: A common principal components approach
Fengler, Matthias R.; Härdle, Wolfgang Karl; Villa, … - 2001
It is common practice to identify the number and sources of shocks that move implied volatilities across space and time by applying Principal Components Analysis (PCA) to pooled covariance matrices of changes in implied volatilities. This approach, however, is likely to result in a loss of...
Persistent link: https://www.econbiz.de/10010310368
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Potential PCA interpretation problems for volatility smile dynamics
Reiswich, Dimitri; Tompkins, Robert - 2009
Principal Component Analysis (PCA) is a common procedure for the analysis of financial market data, such as implied volatility smiles or interest rate curves. Recently, Pelsser and Lord [11] raised the question whether PCA results may not be 'facts but artefacts'. We extend this line of research...
Persistent link: https://www.econbiz.de/10010301713
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Algunas consideraciones sobre la estructura temporal de tasas de interés del gobierno en México
García-Verdú, Santiago - 2011
This paper, first, reviews briefly the literature on the term structure of interest rates, citing some of the most important studies done on the topic for the Mexican case in the last years. In addition, the development of the government debt market is described. Second, evidence against the...
Persistent link: https://www.econbiz.de/10010322548
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Funktionale Klassifizierung von Kleinstädten in Deutschland: Ein methodischer Vergleich
Gareis, Philipp; Milbert, Antonia - In: Raumforschung und Raumordnung / Spatial Research and … 78 (2020) 6, pp. 537-557
. Bezugspunkte sind dabei das klassische Verfahren der Hauptkomponentenanalyse sowie als Alternativmethode die geographisch … gewichtete Hauptkomponentenanalyse. Im methodischen Vergleich zeigt sich, dass die Alternative - auch aufgrund des hohen … Literatur vorzufindende Vorgehensweise aus Hauptkomponentenanalyse, Clusteranalyse und Diskriminanzanalyse gut abgrenzbare und …
Persistent link: https://www.econbiz.de/10012485626
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Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface
Fengler, Matthias R.; Wang, Qihua - 2003
Nonparametric methods for estimating the implied volatility surface or the implied volatility smile are very popular, since they do not impose a specific functional form on the estimate. Traditionally, these methods are two-step estimators. The first step requires to extract implied volatility...
Persistent link: https://www.econbiz.de/10010296461
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Asymptotic expansion of risk-neutral pricing density
Mazzoni, Thomas - In: International Journal of Financial Studies 6 (2018) 1, pp. 1-26
A new method for pricing contingent claims based on an asymptotic expansion of the dynamics of the pricing density is introduced. The expansion is conducted in a preferred coordinate frame, in which the pricing density looks stationary. The resulting asymptotic Kolmogorov-backward-equation is...
Persistent link: https://www.econbiz.de/10011996095
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Implied volatility string dynamics
Fengler, Matthias R.; Härdle, Wolfgang; Mammen, Enno - 2003
A primary goal in modelling the dynamics of implied volatility surfaces (IVS) aims at reducing complexity. For this purpose one fits the IVS each day and applies a principal component analysis using a functional norm. This approach, however, neglects the degenerated string structure of the...
Persistent link: https://www.econbiz.de/10010310798
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Calibration design of implied volatility surfaces
Detlefsen, Kai; Härdle, Wolfgang Karl - 2006
The calibration of option pricing models leads to the minimization of an error functional. We show that its usual specification as a root mean squared error implies fluctuating exotics prices and possibly wrong prices. We propose a simple and natural method to overcome these problems, illustrate...
Persistent link: https://www.econbiz.de/10010274113
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Time series modelling with semiparametric factor dynamics
Borak, Szymon; Härdle, Wolfgang Karl; Mammen, Enno; … - 2007
High-dimensional regression problems which reveal dynamic behavior are typically analyzed by time propagation of a few number of factors. The inference on the whole system is then based on the low-dimensional time series analysis. Such highdimensional problems occur frequently in many different...
Persistent link: https://www.econbiz.de/10010274126
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A joint analysis of the KOSPI 200 option and ODAX option markets dynamics
Cao, Ji; Härdle, Wolfgang Karl; Mungo, Julius - 2009
As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial econometrics. Dynamic Semiparametric Factor Models (DSFM) are a model class that allows for the estimation of the implied volatility surface (IVS) in a dynamic context, employing...
Persistent link: https://www.econbiz.de/10010274154