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Computational statistics and data visualization

Unwin, Antony; Chen, Chun-houh; Härdle, Wolfgang Karl - 2007

Persistent link: https://www.econbiz.de/10010274124

Conditional systemic risk with penalized copula

Okhrin, Ostap; Ristig, Alexander; Sheen, Jeffrey R.; … - 2015

Financial contagion and systemic risk measures are commonly derived from conditional quantiles by using imposed model assumptions such as a linear parametrization. In this paper, we provide model free measures for contagion and systemic risk which are independent of the specifcation of...

Persistent link: https://www.econbiz.de/10011380687

Leveraged ETF options implied volatility paradox: A statistical study

Härdle, Wolfgang Karl; Nasekin, Sergey; Hong, Zhiwu - 2016

discrepancy between the IV smiles for levered and unlevered ETF options. We construct bootstrap uniform confidence bands which … options which possibly have a positive value at the point of creation and non-negative value at the expiration time. An … ETF options to construct theoretical one-step-ahead implied volatility surfaces. The codes used to obtain the results in …

Persistent link: https://www.econbiz.de/10011531880

Long memory persistence in the factor of Implied volatility dynamics

Härdle, Wolfgang Karl; Mungo, Julius - 2007

The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small number of factors. Such dimension reduction is...

Persistent link: https://www.econbiz.de/10010274129

Continuous equilibrium under base preferences and attainable initial endowments

Horst, Ulrich; Kupper, Michael; Macrina, Andrea; … - 2011

simultaneously-traded European-style options. …

Persistent link: https://www.econbiz.de/10010281543

CDO Pricing with Copulae

Choroś, Barbara; Härdle, Wolfgang; Okhrin, Ostap - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009

Modeling the portfolio credit risk is one of the crucial issues of the last yearsin the financial problems. We propose the valuation model of Collateralized DebtObligations based on a one- and two-parameter copula and default intensities estimatedfrom market data. The presented method is used to...

Persistent link: https://www.econbiz.de/10005865449

A MicroeconomicExplanation of the EPKParadox

Härdle, Wolfgang; Krätschmer, Volker; Moro, Rouslan Arthur - Sonderforschungsbereich Ökonomisches Risiko <Berlin>

Supported by several recent investigations the empirical pricing kernel paradox might beconsidered as a stylized fact. In Chabi-Yo et al. (2008) simulation studies have been presentedwhich suggest that this paradox might be caused by regime switching of stock prices in financialmarkets....

Persistent link: https://www.econbiz.de/10005865450

Calibration Design of Implied Volatility Surfaces

Detlefsen, Kai; Härdle, Wolfgang K. - Sonderforschungsbereich Ökonomisches Risiko <Berlin>

The calibration of option pricing models leads to the minimization of an error functional. We show that its usual specification as a root mean squared error implies fluctuating exotics prices and possibly wrong prices...

Persistent link: https://www.econbiz.de/10005854719

Perpetual Barrier Options in Jump-Diffusion Models

Gapeev, Pavel V. - Sonderforschungsbereich Ökonomisches Risiko <Berlin>

We present a closed form solution to the perpetual American double barrier call option problem in a model driven by a Brownian motion and a compound Poissonprocess with exponential jumps. The method of proof is based on reducing the initialirregular optimal stopping problem to an...

Persistent link: https://www.econbiz.de/10005854967

Implied basket correlation dynamics

Härdle, Wolfgang Karl; Silyakova, Elena - 2012

Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between assets and thus measures the degree of portfolio diversification. It can be estimated both under the physical measure from return series, and under the risk neutral measure from...

Persistent link: https://www.econbiz.de/10010318771