Option pricing models are calibrated to market data of plain vanillas by minimization of an error functional. From the economic viewpoint, there are several possibilities to measure the error between the market and the model. These different specifications of the error give rise to different...

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...

We extend the definition of a convex risk measure to a conditional framework where additional information is available. We characterize these risk measures through the associated acceptance sets and prove a representation result in terms of conditional expectations. As an example we consider the...

SFB 649 Discussion Paper 2006-001 Calibration Risk for Exotic Options Kai Detlefsen* Wolfgang K. Härdle** * CASE - Center for Applied Statistics and Economics, Humboldt-Universität zu Berlin, Germany This research was supported by the Deutsche...

SFB 649 Discussion Paper 2006-052 Forecasting the Term Structure of Variance Swaps Kai Detlefsen* Wolfgang Härdle* * Center for Applied Statistics and Economics (C.A.S.E.), School of Business and Economics, Humboldt-Universität zu Berlin, Germany This...

SFB 649 Discussion Paper 2005-006 Conditional and Dynamic Convex Risk Measures Kai Detlefsen* Giacomo Scandolo** * CASE - Center of Applied Statistics and Economics, Humboldt-Universität zu Berlin, Germany ** Department of Mathematics for Economic Decisions,...

This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility functions show a region of risk proclivity that is...

We extend the definition of a convex risk measure to a conditional framework where additional information is available. We characterize these risk measures through the associated acceptance sets and prove a representation result in terms of conditional expectations. A suitable regularity...

Option pricing models are calibrated to market data of plain vanillas by minimization of an error functional. From the economic viewpoint, there are several possibilities to measure the error between the market and the model. These different specifications of the error give rise to different...