Browsing by Author "Borak, Szymon"

Now showing items 1-9 of 9

2008-07-16Diskussionspapier

A semiparametric factor model for electricity forward curve dynamics

Borak, Szymon; Weron, Rafał

In this paper we introduce the dynamic semiparametric factor model (DSFM) for electricity forward curves. The biggest advantage of our approach is that it not only leads to smooth, seasonal forward curves extracted from ...
2006-11-14Diskussionspapier

Convenience Yields for CO2 Emission Allowance Futures Contracts

Borak, Szymon; Härdle, Wolfgang Karl; Trück, Stefan; Weron, Rafal

In January 2005 the EU-wide CO2 emissions trading system (EU-ETS) has formallyentered into operation.Within the new trading system, the right to emit a particularamount of CO2 becomes a tradable commodity - called EU ...
2005-04-01Diskussionspapier

DSFM fitting of Implied Volatility Surfaces

Borak, Szymon; Fengler, Matthias R.; Härdle, Wolfgang Karl

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 ...
2008-07-11Dissertation

Dynamic semiparametric factor models

Borak, Szymon

Hochdimensionale Regressionsprobleme, die sich dynamisch entwickeln, sind in zahlreichen Bereichen der Wissenschaft anzutreffen. Die Dynamik eines solchen komplexen Systems wird typischerweise mittels der Zeitreihenei ...
2005-03-01Diskussionspapier

FFT Based Option Pricing

Borak, Szymon; Detlefsen, Kai; Härdle, Wolfgang Karl
2005-05-20Masterarbeit

Implementation of DynamicSemiparametric Factor Model forImplied Volatilities

Borak, Szymon

Dynamic Semiparametric Factor Model (DSFM) is a convenient tool for analysis of implied volatility surfice (IVS). It offers dimension reduction of the IVS and can be therefore applied in hedging, prediction or risk mangement. ...
2010-10-14Diskussionspapier

Models for Heavy-tailed Asset Returns

Borak, Szymon; Misiorek, Adam; Weron, Rafał

Many of the concepts in theoretical and empirical finance developed over the past decades – including the classical portfolio theory, the Black- Scholes-Merton option pricing model or the RiskMetrics variance-covariance ...
2005-03-01Diskussionspapier

Stable Distributions

Borak, Szymon; Härdle, Wolfgang Karl; Weron, Rafal
2007-04-26Diskussionspapier

Time Series Modelling with Semiparametric Factor Dynamics

Borak, Szymon; Härdle, Wolfgang Karl; Mammen, Enno; Park, Byeong U.

High-dimensional regression problems which reveal dynamic behavior are typically analyzed by time propagation of a few number of factors. The inference on the whole system is then based on the low-dimensional time series ...