hedging strategies by a nonlinear version of the Black-Scholes PDE. The core of the paper consists of a simulation study. We … new explanation of the smile pattern of implied volatility related to the lack of market liquidity. Finally we present …

The estimation of multivariate GARCH models remains a challenging task, even in modern computer environments. This … of the time otherwise required. The proposed method is a two-step procedure, separating the estimation of the correlation … computationally cheap and extremely accurate — most notably in the tail, which is crucial for risk calculations. A simulation study …

simultaneous modeling of stochastic correlation and volatility. The solutions of the model are in closed form and include an … correlation risk is a non-negligible fraction of the myopic portfolio, which often dominates the pure volatility hedging demand …

admitting multivariate thresholds in conditional volatilitiesand correlations. The model estimation is feasible in large … volatility functions of stock returns exhibit pronounced GARCH and threshold features, their conditional correlation dynamics …

and confidence intervals. The approach is based on a Functional Gradient Descent (FGD) estimation of the conditional mean … filtered historical simulation to compute reliable out-of-sample yield curve scenarios and confidenceintervals. We back-test our …