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  • Search: subject:"Risk management (LCSH)"
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Affine process (custom) 1 Analysis of variance 1 Anlageverhalten 1 Behavioural finance 1 Forecasting (LCSH) 1 Forecasting model 1 Forward-looking (custom) 1 Index derivative 1 Indexderivat 1 Option pricing theory 1 Optionspreistheorie 1 Pricing kernel (custom) 1 Prognoseverfahren 1 Risikoaversion 1 Risikoaversion (SWD) 1 Risikoprämie 1 Risk aversion 1 Risk management (LCSH) 1 Risk premium 1 S-shape (custom) 1 State space model 1 Time-varying risk aversion (custom) 1 Unscented Kalman filter (custom) 1 Value-at-risk (custom) 1 Variance risk premium (custom) 1 Varianzanalyse 1 Vega scaling (custom) 1 Zustandsraummodell 1
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Hochschulschrift 1 Thesis 1
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English 1
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Rahe, Florentin 1
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ECONIS (ZBW) 1
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Option pricing under time-varying risk aversion with applications to risk forecasting
Rahe, Florentin - 2013
In this dissertation we present a new option pricing model - called the 2-Factor SV (stochastic volatility) model - which allows to account for time-varying risk aversion. Thereby, we are able to capture the empirical properties of pricing kernels, such as time-variation and the typical S-shape,...
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