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Browsing by Author "Fengler, Matthias R."
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20050306BuchA Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics Fengler, Matthias R.; Härdle, Wolfgang Karl; Mammen, EnnoA primary goal in modelling the implied volatility surface (IVS) for pricing and hedging aims at reducing complexity. For this purpose one fits the IVS each day and applies a principal component analysis using a functional ...

20050323BuchArbitrageFree Smoothing of the Implied Volatility Surface Fengler, Matthias R.The pricing accuracy and pricing performance of local volatility models crucially depends on absence of arbitrage in the implied volatility surface: an input implied volatility surface that is not arbitragefree invariably ...

20030213BuchCorrelation Risk Premia for MultiAsset Equity Options Fengler, Matthias R.; Schwendner, PeterThe lack of a liquid market for implied correlations requires traders to estimate correlation matrices for pricing multiasset equity options from historical data. To quantify the precision of these correlation estimates, ...

20050401BuchDSFM fitting of Implied Volatility Surfaces Borak, Szymon; Fengler, Matthias R.; Härdle, Wolfgang KarlThe 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 ...

20030806BuchFitting the Smile Revisited A Least Squares Kernel Estimator for the Implied Volatility SurfaceFengler, Matthias R.; Wang, QihuaNonparametric methods for estimating the implied volatility surface or the implied volatility smile are very popular, since they do not impose a specific functional form on the estimate. Traditionally, these methods are ...

20031208BuchImplied Volatility String Dynamics Fengler, Matthias R.; Härdle, Wolfgang Karl; Mammen, EnnoA primary goal in modelling the dynamics of implied volatility surfaces (IVS) aims at reducing complexity. For this purpose one fits the IVS each day and applies a principal component analysis using a functional norm. This ...

20031208Berichte und sonstige TexteImplied Volatility String Dynamics Fengler, Matthias R.; Härdle, Wolfgang Karl; Mammen, EnnoA primary goal in modelling the dynamics of implied volatility surfaces (IVS) aims at reducing complexity. For this purpose one fits the IVS each day and applies a principal component analysis using a functional norm. This ...

20051017BuchMultivariate Volatility Models Fengler, Matthias R.; Herwartz, Helmut

20000601BuchPrice variability and price dispersion in a stable monetary environment Evidence from German retail marketsFengler, Matthias R.; Winter, Joachim K.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 ...

20120522BuchRealized Copula Fengler, Matthias R.; Okhrin, OstapWe introduce the notion of realized copula. Based on assumptions of the marginal distri butions of daily stock returns and a copula family, realized copula is defined as the copula structure materialized in realized ...

20051017BuchThe Analysis of Implied Volatilities Fengler, Matthias R.; Härdle, Wolfgang Karl; Schmidt, Peter

20010601BuchThe Dynamics of Implied Volatilities: A Common Principal Components Approach Fengler, Matthias R.; Härdle, Wolfgang Karl; Villa, ChristopheIt is common practice to identify the number and sources of shocks that move implied volatilities across space and time by applying Principal Components Analysis (PCA) to pooled covariance matrices of changes in implied ...