Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in market volatility, with significant impact on pricing and...

In this paper, we present a case study, which describe the development of the Statistic e-learning-course in Arabic language –”Arabic MM*STAT”. The basic frame for this E-book, the system MM*STAT was developed at the School for Business and Economics of Humboldt-Universit¨at zu Berlin....

The implied volatility of a European 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...

As a function of strike and time to maturity the implied volatilityestimation is a challenging task in nancial econometrics. DynamicSemiparametric Factor Models (DSFM) are a model class that allowsfor the estimation of the implied volatility surface (IVS) in a dynamiccontext, employing...

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...

The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small number of factors. Such dimension reduction is...

Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in market volatility, with significant impact on pricing and...

The implied volatility of a European 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...

In this paper, we present a case study, which describe the development of the Statistic e-learning-course in Arabic language -"Arabic MM*STAT". The basic frame for this E-book, the system MM*STAT was developed at the School for Business and Economics of Humboldt-Universita͏̈t zu Berlin. Arabic...