Logo of Humboldt-Universität zu BerlinLogo of Humboldt-Universität zu Berlin
edoc-Server
Open-Access-Publikationsserver der Humboldt-Universität
de|en
Header image: facade of Humboldt-Universität zu Berlin
View Item 
  • edoc-Server Home
  • Qualifikationsarbeiten
  • Abschlussarbeiten
  • View Item
  • edoc-Server Home
  • Qualifikationsarbeiten
  • Abschlussarbeiten
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.
All of edoc-ServerCommunity & CollectionTitleAuthorSubjectThis CollectionTitleAuthorSubject
PublishLoginRegisterHelp
StatisticsView Usage Statistics
All of edoc-ServerCommunity & CollectionTitleAuthorSubjectThis CollectionTitleAuthorSubject
PublishLoginRegisterHelp
StatisticsView Usage Statistics
View Item 
  • edoc-Server Home
  • Qualifikationsarbeiten
  • Abschlussarbeiten
  • View Item
  • edoc-Server Home
  • Qualifikationsarbeiten
  • Abschlussarbeiten
  • View Item
2005-05-20Masterarbeit DOI: 10.18452/14023
Implementation of DynamicSemiparametric Factor Model forImplied Volatilities
Borak, Szymon
Wirtschaftswissenschaftliche Fakultät
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. However the estimation of the DSFM parameters is a complex procedure since it requires huge number of observation. Therefore the efficient implementation is a key issue for application possibilites of this model. In this master thesis we discuss implementation issues of DSFM. We describe key features of the model and present its implementation in statistical computing enviroment XploRe.
Files in this item
Thumbnail
borak.pdf — Adobe PDF — 3.374 Mb
MD5: 9ce3c53f8659923916a460709de03eba
Cite
BibTeX
EndNote
RIS
InCopyright
Details
DINI-Zertifikat 2019OpenAIRE validatedORCID Consortium
Imprint Policy Contact Data Privacy Statement
A service of University Library and Computer and Media Service
© Humboldt-Universität zu Berlin
 
DOI
10.18452/14023
Permanent URL
https://doi.org/10.18452/14023
HTML
<a href="https://doi.org/10.18452/14023">https://doi.org/10.18452/14023</a>