Showing 1 - 10 of 187
The implied volatility became one of the key issues in modern quantitative finance, since the plain vanilla option prices contain vital information for pricing and hedging of exotic and illiquid options. European plain vanilla options are nowadays widely traded, which results in a great amount...
Persistent link: https://www.econbiz.de/10003049397
In this paper we propose the GHADA risk management model that is based on the generalized hyperbolic (GH) distribution and on a nonparametric adaptive methodology. Compared to the normal distribution, the GH distribution possesses semi-heavy tails and represents the financial risk factors more...
Persistent link: https://www.econbiz.de/10003035074
Persistent link: https://www.econbiz.de/10003035839
Persistent link: https://www.econbiz.de/10003036165
Persistent link: https://www.econbiz.de/10003036386
Persistent link: https://www.econbiz.de/10003036501
Persistent link: https://www.econbiz.de/10003036508
Persistent link: https://www.econbiz.de/10003036517
Persistent link: https://www.econbiz.de/10003036527
Most dimension reduction methods based on nonparametric smoothing are highly sensitive to outliers and to data coming from heavy-tailed distributions. We show that the recently proposed methods by Xia et al. (2002) can be made robust in such a way that preserves all advantages of the original...
Persistent link: https://www.econbiz.de/10003036534