Weather derivatives (WD) are end-products of a process known as securitization that transforms non-tradable risk factors (weather) into tradable financial assets. For pricing and hedging non-tradable assets, one essentially needs to incorporate the market price of risk (MPR), which is an...

Abstract Equity basket correlation can be estimated both using the physical measure from stock prices, and also using the risk neutral measure from option prices. The difference between the two estimates motivates a so-called “dispersion strategy”. We study the performance of this strategy...

Abstract There is an increasing demand for models of multivariate time-series with time-varying and non-Gaussian dependencies. The available models suffer from the curse of dimensionality or from restrictive assumptions on the parameters and distributions. A promising class of models is that of...

This study considers the theoretical bootstrap “coupling” techniques for nonparametric robust smoothers and quantile regression, and we verify the bootstrap improvement. To handle the curse of dimensionality, a variant of “coupling” bootstrap techniques is developed for additive models...