Now showing items 61-70 of 173
The Dynamics of Pricing Kernels and Relative Risk Aversion
Risk management and the thorough understanding of the relations between financial markets and the standard theory of macroeconomics have always been among the topics most addressed by researchers, both financial mathematicians ...
Estimating State Price Densities via Local Polynomials
This master thesis aims at estimating state price densities (SPD) via a nonparametric fit of the implied volatility smile and of its derivatives. To achieve this task, we use the local polynomial estimators and apply the ...