Show simple item record

2005-05-20Masterarbeit DOI: 10.18452/14023
Implementation of DynamicSemiparametric Factor Model forImplied Volatilities
dc.contributor.advisorRönz, Bernd
dc.contributor.advisorHärdle, Wolfgang
dc.contributor.authorBorak, Szymon
dc.date.accessioned2017-06-18T02:03:46Z
dc.date.available2017-06-18T02:03:46Z
dc.date.created2006-03-14
dc.date.issued2005-05-20
dc.identifier.urihttp://edoc.hu-berlin.de/18452/14675
dc.description.abstractDynamic 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectImplied Volatilityeng
dc.subjectDynamic Semiparametric Factor Modeleng
dc.subjectOption Pricingeng
dc.subject.ddc310 Statistik
dc.titleImplementation of DynamicSemiparametric Factor Model forImplied Volatilities
dc.typemasterThesis
dc.identifier.urnurn:nbn:de:kobv:11-10060324
dc.identifier.doihttp://dx.doi.org/10.18452/14023
dc.subject.dnb15 Statistik
local.edoc.pages66
local.edoc.type-nameMasterarbeit
local.edoc.institutionWirtschaftswissenschaftliche Fakultät

Show simple item record