In this paper we apply statistical inference techniques to build neural network models which are able to explain the prices of call options written on the German stock index DAX. By testing for the explanatory power of several input variables serving as network inputs, some insight into the...

In this article we examine how model selection in neural networks can be guided by statistical procedures such as hypotheses tests, information criteria and cross validation. The application of these methods in neural network models is discussed, paying attention especially to the identification...

Diese Arbeit vergleicht verschiedene Verfahren zur Nachbildung von Aktienindizes. Eine solche Nachbildung stellt ein wichtiges Problem sowohl im passiven Portfoliomanagement als auch bei der Ausführung von Index-Arbitrage dar. Es werden unterschiedliche Kriterien abgeleitet, nach denen sich...

Die vorliegende Studie untersucht den Zusammenhang zwischen Arbitragetätigkeit und Preisführerschaft eines Marktes anhand Kursänderungen des DAX und des DAX-Futures. Dem Gleichgewichtsmodell von Garbade/Silber (1983) folgend wird der Einfluß (imperfekter) Arbitragetätigkeit auf die...

This paper provides implied measures of higher-order dependencies between assets. The measures exploit only forward-looking information from the options market and can be used to construct an implied estimator of the covariance, co-skewness, and co-kurtosis matrices of asset returns. We...

This paper studies the hedging of price risk when payment dates are uncertain, a problem that frequently occurs in practice. It derives and establishes the variance minimizing dynamic hedging strategy, using forward contracts with different times to maturity. The resulting strategy fully hedges...

Option-implied moments, like implied volatility, contain useful information about an underlying asset's return distribution, but are derived under the risk-neutral probability measure. This paper shows how to convert risk-neutral moments into the corresponding physical ones. The main theoretical...