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  • HU Berlin  (12)
  • Ibero-Amerik. Institut
  • TH Brandenburg
  • SB Fehrbellin
  • Fengler, Matthias R.  (12)
  • Open access  (12)
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  • HU Berlin  (12)
  • Ibero-Amerik. Institut
  • TH Brandenburg
  • SB Fehrbellin
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  • Open access  (12)
  • 1
    Online Resource
    Online Resource
    Price variability and price dispersion in a stable monetary environment : Evidence from German retail markets (2000)
    Berlin : Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
    Details
    UID:
    edochu_18452_4063
    Format: 1 Online-Ressource (22 Seiten)
    ISSN: 1436-1086
    Series Statement: Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes 2000,2000,90
    Content: We investigate the relationship between inflation and price variation using highly disaggregated, weekly price data for consumption goods recorded in Germany during 1995, a low inflation period. We find a significant positive correlation between the rates of price change and price dispersion, both at the level of individual products and product groups. However, we find no correlation between the rates of price change and price variability. Together with results from similar studies, Tommasi (1993) and Parsley (1996), a remarkable pattern emerges: When aggregate nominal shocks are small, only price dispersion is correlated with price changes. As the rate of inflation rises, both variability and dispersion become affected. During hyperinflation, systematic movements of price dispersion seem to disappear. We conclude that price dispersion is best explained by microeconomic frictions in price adjustment, whereas price variability appears to be related to costly price search and information problems.
    Language: English
    DOI: 10.18452/3411
    URN: urn:nbn:de:kobv:11-10048165
    URL: Volltext  (kostenfrei)
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    HU Berlin
  • 2
    Online Resource
    Online Resource
    Correlation Risk Premia for Multi-Asset Equity Options (2003)
    Berlin : Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
    Details
    UID:
    edochu_18452_4224
    Format: 1 Online-Ressource (27 Seiten)
    ISSN: 1436-1086
    Series Statement: Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes 2003,2003,10
    Content: The lack of a liquid market for implied correlations requires traders to estimate correlation matrices for pricing multi-asset equity options from historical data. To quantify the precision of these correlation estimates, we devise a block bootstrap procedure. The resulting bootstrap distributions are mapped on price distributions of three standard types of multi-asset options. ‘Minimal’ bid-ask spreads that reflect the risk from estimating the unknown correlations are quoted as quantiles of the price distributions. We discuss the influence of different market regimes and different payoff structures on the price distributions and on the the size of the resulting bid-ask spreads.
    Language: English
    DOI: 10.18452/3572
    URN: urn:nbn:de:kobv:11-10049898
    URL: Volltext  (kostenfrei)
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    HU Berlin
  • 3
    Online Resource
    Online Resource
    Multivariate Volatility Models (2005)
    Berlin : Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
    Details
    UID:
    edochu_18452_4278
    Format: 1 Online-Ressource (21 Seiten)
    ISSN: 1436-1086
    Series Statement: Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes 2001,2005,74
    Language: English
    DOI: 10.18452/3626
    URN: urn:nbn:de:kobv:11-10050462
    URL: Volltext  (kostenfrei)
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    HU Berlin
  • 4
    Online Resource
    Online Resource
    Fitting the Smile Revisited : A Least Squares Kernel Estimator for the Implied Volatility Surface (2003)
    Berlin : Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
    Details
    UID:
    edochu_18452_4257
    Format: 1 Online-Ressource (25 Seiten)
    ISSN: 1436-1086
    Series Statement: Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes 2003,2003,25
    Content: Nonparametric methods for estimating the implied volatility surface or the implied volatility smile are very popular, since they do not impose a specific functional form on the estimate. Traditionally, these methods are two-step estimators. The first step requires to extract implied volatility data from observed option prices, in the second step the actual fitting algorithm is applied. These two-step estimators may be seriously biased when option prices are observed with measurement errors. Moreover, after the nonlinear transformation of the option prices the error distribution will be complicated and less tractable. In this study, we propose a one-step estimator for the implied volatility surface based on a least squares kernel smoother of the Black-Scholes formula. Consistency and the asymptotic distribution of the estimate are provided. We demonstrate the estimator using German DAX index option data to recover the smile and the implied volatility surface.
    Language: English
    DOI: 10.18452/3605
    URN: urn:nbn:de:kobv:11-10050259
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    HU Berlin
  • 5
    Online Resource
    Online Resource
    The Analysis of Implied Volatilities (2005)
    Berlin : Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
    Details
    UID:
    edochu_18452_4277
    Format: 1 Online-Ressource (20 Seiten)
    ISSN: 1436-1086
    Series Statement: 2001,73
    Language: English
    DOI: 10.18452/3625
    URN: urn:nbn:de:kobv:11-10050453
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    HU Berlin
  • 6
    Online Resource
    Online Resource
    Implied Volatility String Dynamics (2003)
    Berlin : Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
    Details
    UID:
    edochu_18452_4309
    Format: 1 Online-Ressource (57 Seiten)
    ISSN: 1436-1086
    Series Statement: 2003,54
    Content: A primary goal in modelling the dynamics of implied volatility surfaces (IVS) aims at reducing complexity. For this purpose one fits the IVS each day and applies a principal component analysis using a functional norm. This approach, however, neglects the degenerated string structure of the implied volatility data and may result in a severe modelling bias. We propose a dynamic semiparametric factor model, which approximates the IVS in a finite dimensional function space. The key feature is that we only fit in the local neighborhood of the design points. Our approach is a combination of methods from functional principal component analysis and backfitting techniques for additive models. The model is found to have an approximate 10% better performance than the typical naïve trader models. The model can be a backbone in risk management serving for value at risk computations and scenario analysis.
    Language: English
    DOI: 10.18452/3657
    URN: urn:nbn:de:kobv:11-10050885
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    HU Berlin
  • 7
    Online Resource
    Online Resource
    The Dynamics of Implied Volatilities: A Common Principal Components Approach (2001)
    Berlin : Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
    Details
    UID:
    edochu_18452_4214
    Format: 1 Online-Ressource (31 Seiten)
    ISSN: 1436-1086
    Series Statement: 2001,38
    Content: It is common practice to identify the number and sources of shocks that move implied volatilities across space and time by applying Principal Components Analysis (PCA) to pooled covariance matrices of changes in implied volatilities. This approach, however, is likely to result in a loss of information, since the surface structure of implied volatilities in the maturities and moneyness dimension is neglected. In this paper we propose to estimate the implied volatility surface at each point in time nonparametrically and to analyze the implied volatility surface slice by slice with a common principal components analysis (CPCA). As opposed to traditional PCA, the basic assumption of CPCA is that the space spanned by the eigenvectors is identical across groups, whereas variances associated with the components are allowed to vary. This allows us to study a p variate random vector of k groups, say the "volatility smile" at p different grid points of moneyness for k maturities, simultaneously. Our evidence suggests that surface dynamics can indeed be traced back to a common eigenstructure between covariance matrices of the surface "slices", which allow for the usual shift, slope, and twist interpretation of shocks to implied volatilities. This insight is a suitable starting point for VaR Monte Carlo Simulations of delta-gamma neutral, vega sensitive option portfolios.
    Language: English
    DOI: 10.18452/3562
    URN: urn:nbn:de:kobv:11-10049795
    URL: Volltext  (kostenfrei)
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    HU Berlin
  • 8
    Online Resource
    Online Resource
    Implied Volatility String Dynamics (2003)
    Berlin : Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
    Details
    UID:
    edochu_18452_9782
    Series Statement: : conference 54,2003
    Content: A primary goal in modelling the dynamics of implied volatility surfaces (IVS) aims at reducing complexity. For this purpose one fits the IVS each day and applies a principal component analysis using a functional norm. This approach, however, neglects the degenerated string structure of the implied volatility data and may result in a severe modelling bias. We propose a dynamic semiparametric factor model, which approximates the IVS in a finite dimensional function space. The key feature is that we only fit in the local neighborhood of the design points. Our approach is a combination of methods from functional principal component analysis and backfitting techniques for additive models. The model is found to have an approximate 10% better performance than the typical naïve trader models. The model can be a backbone in risk management serving for value at risk computations and scenario analysis.
    Content: Not Reviewed
    Language: English
    DOI: 10.18452/9130
    URN: urn:nbn:de:kobv:11-10054393
    URN: urn:nbn:de:kobv:11-10050885
    URL: Volltext  (kostenfrei)
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    HU Berlin
  • 9
    Online Resource
    Online Resource
    A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics (2005)
    Berlin : Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
    Details
    UID:
    edochu_18452_4538
    Format: 1 Online-Ressource (43 Seiten)
    ISSN: 1860-5664
    Series Statement: 2005,20
    Content: A primary goal in modelling the implied volatility surface (IVS) for pricing and hedging aims at reducing complexity. For this purpose one fits the IVS each day and applies a principal component analysis using a functional norm. This approach, however, neglects the degenerated string structure of the implied volatility data and may result in a modelling bias. We propose a dynamic semiparametric factor model (DSFM), which approximates the IVS in a finite dimensional function space. The key feature is that we only fit in the local neighborhood of the design points. Our approach is a combination of methods from functional principal component analysis and backfitting techniques for additive models. The model is found to have an approximate 10% better performance than a sticky moneyness model. Finally, based on the DSFM, we devise a generalized vega-hedging strategy for exotic options that are priced in the local volatility framework. The generalized vega-hedging extends the usual approaches employed in the local volatility framework.
    Language: English
    DOI: 10.18452/3886
    URN: urn:nbn:de:kobv:11-10045403
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    HU Berlin
  • 10
    Online Resource
    Online Resource
    Realized Copula (2012)
    Berlin : Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
    Details
    UID:
    edochu_18452_5059
    Format: 1 Online-Ressource (34 Seiten)
    ISSN: 1860-5664
    Series Statement: 2012,34
    Content: We introduce the notion of realized copula. Based on assumptions of the marginal distri- butions of daily stock returns and a copula family, realized copula is defined as the copula structure materialized in realized covariance estimated from within-day high-frequency data. Copula parameters are estimated in a method-of-moments type of fashion through Hoeffding's lemma. Applying this procedure day by day gives rise to a time series of copula parameters that is suitably approximated by an autoregressive time series model. This allows us to capture time-varying dependency in our framework. Studying a portfolio risk-management applica- tion, we find that time-varying realized copula is superior to standard benchmark models in the literature.
    Language: English
    DOI: 10.18452/4407
    URN: urn:nbn:de:kobv:11-100202412
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    HU Berlin
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