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Computational statistics and data visualization

Unwin, Antony (contributor); Chen, Chun-houh (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003633608

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/10011309638

Leveraged ETF options implied volatility paradox : a statistical study

Härdle, Wolfgang; 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/10011437891

Representations for optimal stopping under dynamic monetary utility functionals

Krätschmer, Volker; Schoenmakers, John - 2009

In this paper we consider the optimal stopping problem for general dynamic monetary utility functionals. Sufficient conditions for the Bellman principle and the existence of optimal stopping times are provided. Particular attention is payed to representations which allow for a numerical...

Persistent link: https://www.econbiz.de/10003905569

Polar sets of anisotropic Gaussian random fields

Söhl, Jakob - 2009

This paper studies polar sets of anisotropic Gaussian random elds, i.e. sets which a Gaussian random eld does not hit almost surely. The main assumptions are that the eigenvalues of the covariance matrix are bounded from below and that the canonical metric associated with the Gaussian random eld...

Persistent link: https://www.econbiz.de/10003905608

FX smile in the Heston model

Janek, Agnieszka; Kluge, Tino; Weron, Rafał; Wystup, Uwe - 2010

a fast and easily implemented semi-analytical solution for European options. In this article we adapt the original work … we show that the smile of vanilla options can be reproduced by suitably calibrating three out of five model parameters …

Persistent link: https://www.econbiz.de/10008663372

Parametric estimation of risk neutral density functions

Grith, Maria; Krätschmer, Volker - 2010

This chapter deals with the estimation of risk neutral distributions for pricing index options resulting from the …

Persistent link: https://www.econbiz.de/10008663375

Meteorological forecasts and the pricing of weather derivatives

Ritter, Matthias; Mußhoff, Oliver; Odening, Martin - 2010

In usual pricing approaches for weather derivatives, forward-looking information such as meteorological weather forecasts is not considered. Thus, important knowledge used by market participants is ignored in theory. By extending a standard model for the daily temperature, this paper allows the...

Persistent link: https://www.econbiz.de/10008663382

Volatility investing with variance swaps

Härdle, Wolfgang; Silyakova, Elena - 2010

Traditionally volatility is viewed as a measure of variability, or risk, of an underlying asset. However recently investors began to look at volatility from a different angle. It happened due to emergence of a market for new derivative instruments - variance swaps. In this paper first we...

Persistent link: https://www.econbiz.de/10003952648

Illiquidity and derivative valuation

Horst, Ulrich; Naujokat, Felix - 2010

In illiquid markets, option traders may have an incentive to increase their portfolio value by using their impact on the dynamics of the underlying. We provide a mathematical framework within which to value derivatives under market impact in a multi-player framework by introducing strategic...

Persistent link: https://www.econbiz.de/10003952859