We suggest a semi-nonparametric estimator for the call-option price surface. The estimator is a bivariate tensor-product B-spline. To enforce no-arbitrage constraints across strikes and expiry dates, we establish sufficient no-arbitrage conditions on the control net of the B-spline surface. The...

We suggest a simple and general approach to fitting the discount curve under no-arbitrage constraints based on a penalized shape-constrained B-spline. Our approach accommodates B-splines of any order and fitting both under the L1 and the L2 loss functions. Simulations and an empirical analysis...

This paper suggests a method of estimation of the implied volatility smile uncertainty of the observed options prices due to future risk-free rate uncertainty. The purpose is to quantify the range of uncertainty under different scenarios. We consider the setting where both the implied volatility...

We suggest a semi-nonparametric estimator for the entire call price surface based on a tensor-product B-spline. To enforce no-arbitrage constraints in strike and calendar dimensions we establish sufficient no-arbitrage conditions on the control net of the tensor product (TP) B-spline. Since...

A modeling paradigm is proposed for covariate, variance and working correlation structure selection for longitudinal data analysis. Appropriate selection of covariates is pertinent to correct variance modeling and selecting the appropriate covariates and variance function is vital to correlation...

We investigate the relationship between inflation and price variation using highly disaggregated, weekly price data for consumption goods recorded in Germany during 1995, a low-inflation period. We find a significant positive correlation between the rates of price change and price dispersion,...

We evaluate the relevance of covariances in the transmission mechanism of variance spillovers across the US stock, US bond and gold markets from July 2003 to December 2012. For that purpose, we perform a comparative spillover analysis between a model that considers covariances and a model that...

We investigate the relationship between inflation and price variation using highly disaggregated, weekly price data for consumption goods recorded in Germany during 1995, a low-inflation period. We find a significant positive correlation between the rates of price change and price dispersion,...

The analysis of volatility in financial markets has become a first rank issue in modern financial theory and practice: Whether in risk management, portfolio hedging, or option pricing, we need to have a precise notion of the market's expectation of volatility. Much research has been done on the...