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Extracting implicit density functions from short term interest rate options

Nielsen, Hannah - 2001

Using option prices the expectations of the market participants concerning the underlying asset can be extracted as well as the uncertainty surrounding these expectations. In this paper a mixture of lognormal density functions will be assumed to analyze options on three-month Euribor futures for...

Persistent link: https://www.econbiz.de/10009614294

Markovian short rates in a forward rate model with a general class of Lévy processes

Küchler, Uwe (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919022

Higher order forward rate agreements and the smoothness of the term structure

Jaschke, Stefan R. - 1998

This paper proposes linear higher order conditions on the term structure that allow to compute valuation bounds for any deterministic cash stream. Starting from bounds on the forward rate curve and its derivatives, which are nonlinear in the discount factors, we derive linear conditions that are...

Persistent link: https://www.econbiz.de/10009579185

Volatility estimates of the short term interest rate with an application to German data

Dankenbring, Henning - 1998

find that the volatility depends on either the interest rate level or information shocks but not on both. Finally, we … propose to describe the short term interest rate's dynamics by means of an AR(1) model with stochastic volatility. -- Term … Structure Models ; Stochastic Volatility ; ARCH …

Persistent link: https://www.econbiz.de/10009578570

Credit risk modeling and valuation : an introduction

Giesecke, Kay - 2002

Credit risk refers to the risk of incurring losses due to unexpected changes in the credit quality of a counterparty or issuer. In this paper we give an introduction to the modeling of credit risks and the valuation of credit-risky securities. We consider individual as well as correlated credit...

Persistent link: https://www.econbiz.de/10009625799

Fitting the smile revisited : a least squares kernel estimator for the implied volatility surface

Fengler, Matthias R. (contributor); Wang, Qihua (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919426

The analysis of implied volatilities

Fengler, Matthias R.; Härdle, Wolfgang; Schmidt, Peter - 2001

The analysis of volatility in financial markets has become a first rank issue in modern financial theory and practice … of volatility. Much research has been done on the analysis of realized historic volatilities, Roll (1977) and references … solved for the constant volatility parameter a using observed option prices. This is a more natural approach as the option …

Persistent link: https://www.econbiz.de/10009615424

Discrete time option pricing with flexible volatility estimation

Härdle, Wolfgang; Hafner, Christian M. - 1997

By extending the GARCH option pricing model of Duan (1995) to more flexible volatility estimation it is shown that the … prices of out-of-the-money options strongly depend on volatility features such as asymmetry. Results are provided for the …

Persistent link: https://www.econbiz.de/10009659059

Implied volatility string dynamics

Fengler, Matthias; Härdle, Wolfgang; Mammen, Enno - 2003

A primary goal in modelling the dynamics of implied volatility surfaces (IVS) aims at reducing complexity. For this …, neglects the degenerated string structure of the implied volatility data and may result in a severe modelling bias. We propose … value at risk computations and scenario analysis. -- Implied Volatility Surface ; Smile ; Generalized Additive Models …

Persistent link: https://www.econbiz.de/10009663844

Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis

Hafner, Christian M.; Herwartz, Helmut - 1999

prices caused by stochastic volatility. -- option pricing ; autoregression ; heteroskedasticity ; GARCH ; leverage effect …

Persistent link: https://www.econbiz.de/10009580460