Borak, Szymon; Härdle, Wolfgang; Mammen, Enno; Park, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
term structure dynamics is crucial for bond
portfolio risk management or derivative pricing, see Nelson and Siegel (1987 … distributional forecasting of
future IV, which is essential in risk management of large options’ portfolios. It also serves
for …-neutral price of an underlying asset at some future date. The knowledge of SPD
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can be bene cial for an objective interpretation …