Since their introduction, quanto options have steadily gained popularity. Matching Black-Scholes-type pricing models and, more recently, a fat-tailed, normal tempered stable variant have been established. The objective here is to empirically assess the adequacy of quanto-option pricing models....

Since their introduction, quanto options have steadily gained popularity. Matching Black-Scholes-type pricing models and, more recently, a fat-tailed, normal tempered stable variant have been established. The objective here is to empirically assess the adequacy of quanto-option pricing models....

We analyze the high-frequency dynamics of S&P 500 equity-index option prices by constructing an assortment of implied volatility measures. This allows us to infer the underlying fine structure behind the innovations in the latent state variables driving the movements of the volatility surface....

Most of the Bayesian nonparametric models for non–exchangeable data that are used in applications are based on some extension to the multivariate setting of the Dirichlet process, the best known being MacEachern’s dependent Dirichlet process. A comparison of two recently introduced classes...

As the share of wind power in the electricity system rises, the limited predictability of wind power generation becomes increasingly critical for operating a reliable electricity system. In most operational & economic models, the wind power forecast error (WPFE) is often assumed to have a...

The extremal coefficient function has been discussed as an analog of the autocovariance function for extreme values. However, as to the behavior of valid extremal coefficient functions little is known apart from their positive definite type. In particular, the reconstruction of valid processes...

A class of mean reverting positive stochastic processes driven by alpha-stable distributions, 1=alpha2, are discussed. They are referred to as alpha-root processes in analogy to the square root process or the Cox-Ingersoll-Ross process derived from the Brownian motion. They are affine models in...

The extremal coefficient function has been discussed as an analog of the autocovariance function for extreme values. However, as to the behavior of valid extremal coefficient functions little is known apart from their positive definite type. In particular, the reconstruction of valid processes...

The extremal coefficient function has been discussed as an analog of the autocovariance function for extreme values. However, as to the behavior of valid extremal coefficient functions little is known apart from their positive definite type. In particular, the reconstruction of valid processes...