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~person:"Härdle, Wolfgang"
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Option pricing theory
64
Optionspreistheorie
64
Theorie
31
Theory
31
Volatility
24
Volatilität
24
Estimation
17
Schätzung
17
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option pricing
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Härdle, Wolfgang
Verhoef, Erik T.
249
Knieps, Günter
178
Madan, Dilip B.
140
Platen, Eckhard
137
Fabozzi, Frank J.
133
Peitz, Martin
113
Chiarella, Carl
108
Proost, Stef
107
Hens, Thorsten
106
Bergemann, Dirk
102
Zhang, Lu
96
Zaremba, Adam
92
Jarrow, Robert A.
90
Carr, Peter
86
Jacobs, Kris
79
Cochrane, John H.
77
Schjelderup, Guttorm
76
Rouwendal, Jan
75
Campbell, John Y.
74
Cui, Zhenyu
74
Elliott, Robert J.
74
Hansen, Lars Peter
74
Valletti, Tommaso M.
73
Schoutens, Wim
72
Haucap, Justus
71
Takahashi, Akihiko
71
Armstrong, Mark
70
Jeon, Doh-Shin
70
Lee, Cheng F.
70
Joshi, Mark S.
69
Robotti, Cesare
69
Spann, Martin
69
Harvey, Campbell R.
68
Kind, Hans Jarle
68
Rietveld, Piet
68
Ferson, Wayne E.
67
Levy, Daniel
66
Foros, Øystein
65
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
9
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
7
Sonderforschungsbereich Ökonomisches Risiko <Berlin>
5
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SFB 649 discussion paper
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9
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5
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
4
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2
Journal of econometrics
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
AStA Advances in Statistical Analysis
1
Applied quantitative finance
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Applied quantitative finance : theory and computational tools
1
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1
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1
Finance and stochastics
1
IRTG 1792 Discussion Paper
1
Insurance / Mathematics & economics
1
International Journal of Financial Studies : open access journal
1
International journal of theoretical and applied finance
1
Journal of applied econometrics
1
Journal of economic dynamics & control
1
Journal of financial econometrics
1
Review of derivatives research
1
Risk assessment : decisions in banking and finance
1
Risks : open access journal
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SFB
1
SFB 373 Discussion Paper
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SFB 373 Discussion Papers
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Springer Handbooks of Computational Statistics
1
Statistical tools for finance and insurance
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Statistik und ihre Anwendungen
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The energy journal
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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ECONIS (ZBW)
72
RePEc
11
BASE
6
USB Cologne (business full texts)
5
EconStor
2
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1
Pricing
Kernels and risk Premia implied in bitcoin options
Winkel, Julian
;
Härdle, Wolfgang
- In:
Risks : open access journal
11
(
2023
)
5
,
pp. 1-18
Bitcoin
Pricing
Kernels (PKs) are estimated using a novel data set from Deribit, the leading Bitcoin options exchange …
Persistent link: https://www.econbiz.de/10014332072
Saved in:
2
Inflation co-movement across countries in multi-maturity term structure : an arbitrage-free approach
Chen, Shi
;
Härdle, Wolfgang
;
Wang, Weining
-
2015
Inflation expectation is acknowledged to be an important indicator for policy makers and financial investors. To capture a more accurate real-time estimate of inflation expectation on the basis of financial markets, we propose an arbitrage-free model across different countries in a...
Persistent link: https://www.econbiz.de/10011389060
Saved in:
3
Dynamic valuation of weather derivatives under default risk
Härdle, Wolfgang
;
Osipenko, Maria
-
2017
risk can transfer it to nancial markets via weather derivatives. We develop a utility-based model for
pricing
baskets of …
Persistent link: https://www.econbiz.de/10011598925
Saved in:
4
Understanding jumps in high frequency digital asset markets
Saef, Danial
;
Nagy, Odett
;
Sizov, Sergej
;
Härdle, Wolfgang
-
2021
. This provides fundamental research for crypto option
pricing
models. However, we need better econometric methods for …
Persistent link: https://www.econbiz.de/10012657696
Saved in:
5
Hedging cryptocurrency options
Matic, Jovanka Lili
;
Packham, Natalie
;
Härdle, Wolfgang
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 91-133
Persistent link: https://www.econbiz.de/10014266383
Saved in:
6
Downside risk and stock returns : an empirical analysis of the long-run and short-run dynamics from the G-7 Countries
Chen, Cathy Yi-Hsuan
;
Chiang, Thomas C.
;
Härdle, Wolfgang
-
2016
This paper presents presents presents a fractionally cointegrated vector autoregression (FCVAR) (FCVAR) (FCVAR) (FCVAR) model to examine to examine to examine to examine to examine to examine to examine various relations between stock returns and downside risk. Evidence from major advanced...
Persistent link: https://www.econbiz.de/10011437764
Saved in:
7
Understanding jumps in high frequency digital asset markets
Saef, Danial
;
Nagy, Odett
;
Sizov, Sergej
;
Härdle, Wolfgang
-
2021
. This provides fundamental research for crypto option
pricing
models. However, we need better econometric methods for …
Persistent link: https://www.econbiz.de/10012663500
Saved in:
8
Hedging cryptocurrency options
Matic, Jovanka
;
Packham, Natalie
;
Härdle, Wolfgang
-
2021
The cryptocurrency (CC) market is volatile, non-stationary and non-continuous. This poses unique challenges for
pricing
…
Persistent link: https://www.econbiz.de/10012666345
Saved in:
9
Pricing
kernel modeling
Belomestny, Denis
;
Ma, Shujie
;
Härdle, Wolfgang
-
2015
We propose a new method to estimate the empirical
pricing
kernel based on option data. We estimate the
pricing
kernel …
Persistent link: https://www.econbiz.de/10010462645
Saved in:
10
A dynamic programming approach for
pricing
weather derivatives under issuer default risk
Härdle, Wolfgang
;
Osipenko, Maria
- In:
International Journal of Financial Studies : open …
5
(
2017
)
4
,
pp. 1-18
risk can transfer it to financial markets via weather derivatives. We develop a utility-based model for
pricing
baskets of …
Persistent link: https://www.econbiz.de/10011760235
Saved in:
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