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Browsing by Author "Grith, Maria"
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2016-09-07BuchFunctional Principal Component Analysis for Derivatives of Multivariate Curves Grith, Maria; Härdle, Wolfgang Karl; Kneip, Alois; Wagner, HeikoWe present two methods based on functional principal component analysis (FPCA) for the estimation of smooth derivatives of a sample of random functions, which are observed in a more than one-dimensional domain. We apply ...
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2010-04-01BuchNonparametric Estimation of Risk-Neutral Densities Grith, Maria; Härdle, Wolfgang Karl; Schienle, MelanieThis chapter deals with nonparametric estimation of the risk neutral density. We present three different approaches which do not require parametric functional assumptions on the underlying asset price dynamics nor on the ...
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2010-09-09BuchParametric estimation of risk neutral density functions Grith, Maria; Krätschmer, VolkerThis chapter deals with the estimation of risk neutral distributions for pricing index options resulting from the hypothesis of the risk neutral valuation principle. After justifying this hypothesis, we shall focus on ...
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2013-05-06BuchReference Dependent Preferences and the EPK Puzzle Grith, Maria; Härdle, Wolfgang Karl; Krätschmer, VolkerSupported by several recent investigations, the empirical pricing kernel (EPK) puzzle might be considered a stylized fact. Based on an economic model with state dependent preferences for the financial investors, we want ...
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2009-08-20BuchShape invariant modelling pricing kernels and risk aversion Grith, Maria; Härdle, Wolfgang Karl; Park, JuhyunPricing kernels play a major role in quantifying risk aversion and investors' preferences. Several empirical studies reported that pricing kernels exhibit a common pattern across different markets. Mostly visual inspection ...