Browsing by Author "Hlávka, Zdeněk"

Now showing items 1-7 of 7

2005-09-30Buch

Asymptotic Properties of Robust Three-Stage Procedure Based on Bootstrap for M-Estimator

Hlávka, Zdeněk
2003-09-05Buch

Confidence Intervals for State Price Densities

Hlávka, Zdeněk

The state price density is a second derivative of the discounted European options prices with respect to the strike price. We use Maximum Likelihood method to derive a simple estimator of the curve such that it is decreasing, ...
2006-09-25Buch

Constrained General Regression in Pseudo-Sobolev Spaces with Application to Option Pricing

Hlávka, Zdeněk; Pešta, Michal

State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space. We improve ...
2005-04-01Buch

Dynamics of State Price Densities

Härdle, Wolfgang Karl; Hlávka, Zdeněk

State price densities (SPD) are an important element in applied quantitative finance. In a Black-Scholes model they are lognormal distributions with constant volatility parameter. In practice volatility changes and the ...
2005-10-17Buch

Electronic books for experts and users

Hlávka, Zdeněk
2006-01-10Buch

On the Appropriateness of Inappropriate VaR Models

Härdle, Wolfgang Karl; Hlávka, Zdeněk; Stahl, Gerhard

Die Berechnung des VaR führt zur Reduktion der Dimension des Raumes der Risikofaktoren. Die vorzunehmenden Vereinfachungen resultieren aus unterschiedlichen Beweggründen, z.B. technische Effizienz, Sachlogik der Ergebnisse ...
2003-01-23Buch

Wann sind falsche VaR-Modelle dennoch adäquat?

Härdle, Wolfgang Karl; Hlávka, Zdeněk

Die Berechnung des VaR führt zur Reduktion der Dimension des Raumes der Risikofaktoren. Die vorzunehmenden Vereinfachungen resultieren aus unterschiedlichen Beweggründen, z.B. technische Effizienz, Sachlogik der Ergebnisse ...