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Implied volatility string dynamics
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Cited by:
- Agnieszka Janek & Tino Kluge & Rafal Weron & Uwe Wystup, 2010.
"FX Smile in the Heston Model,"
HSC Research Reports
HSC/10/02, Hugo Steinhaus Center, Wroclaw University of Technology.
- Janek, Agnieszka & Kluge, Tino & Weron, Rafal & Wystup, Uwe, 2010. "FX Smile in the Heston Model," MPRA Paper 25491, University Library of Munich, Germany.
- Agnieszka Janek & Tino Kluge & Rafał Weron & Uwe Wystup, 2010. "FX Smile in the Heston Model," SFB 649 Discussion Papers SFB649DP2010-047, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Agnieszka Janek & Tino Kluge & Rafal Weron & Uwe Wystup, 2010. "FX Smile in the Heston Model," Papers 1010.1617, arXiv.org.
- Matthias Fengler, 2009.
"Arbitrage-free smoothing of the implied volatility surface,"
Quantitative Finance, Taylor & Francis Journals, vol. 9(4), pages 417-428.
- Matthias R. Fengler, 2005. "Arbitrage-Free Smoothing of the Implied Volatility Surface," SFB 649 Discussion Papers SFB649DP2005-019, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Matthias Fengler & Wolfgang Härdle & Christophe Villa, 2003.
"The Dynamics of Implied Volatilities: A Common Principal Components Approach,"
Review of Derivatives Research, Springer, vol. 6(3), pages 179-202, October.
- Fengler, Matthias R. & Härdle, Wolfgang Karl & Villa, Christophe, 2001. "The dynamics of implied volatilities: A common principal components approach," SFB 373 Discussion Papers 2001,38, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Christophe Villa & M.R. Fengler & W.K. Hardle, 2003. "The dynamics of implied volatilities : a common principal components approach," Post-Print halshs-00069509, HAL.
- Boneva, Lena & Linton, Oliver & Vogt, Michael, 2015.
"A semiparametric model for heterogeneous panel data with fixed effects,"
Journal of Econometrics, Elsevier, vol. 188(2), pages 327-345.
- Lena Boneva (Körber) & Oliver Linton & Michael Vogt, 2013. "A semiparametric model for heterogeneous panel data with fixed effects," CeMMAP working papers CWP02/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Enno Mammen & Byeong U. Park & Melanie Schienle, 2012. "Additive Models: Extensions and Related Models," SFB 649 Discussion Papers SFB649DP2012-045, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Wolfgang Karl Härdle & Elena Silyakova, 2012. "Implied Basket Correlation Dynamics," SFB 649 Discussion Papers SFB649DP2012-066, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Song Song & Wolfgang K. Härdle & Ya'acov Ritov, 2010. "High Dimensional Nonstationary Time Series Modelling with Generalized Dynamic Semiparametric Factor Model," SFB 649 Discussion Papers SFB649DP2010-039, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Enzo Giacomini & Wolfgang Härdle, 2007. "Statistics of Risk Aversion," SFB 649 Discussion Papers SFB649DP2007-025, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Szymon Borak & Rafał Weron, 2008.
"A semiparametric factor model for electricity forward curve dynamics,"
SFB 649 Discussion Papers
SFB649DP2008-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Borak, Szymon & Weron, Rafal, 2008. "A semiparametric factor model for electricity forward curve dynamics," MPRA Paper 10421, University Library of Munich, Germany.
- Hans Buehler, 2006. "Consistent Variance Curve Models," Finance and Stochastics, Springer, vol. 10(2), pages 178-203, April.
- Wolfgang Härdle & Zdenek Hlavka, 2005. "Dynamics of State Price Densities," SFB 649 Discussion Papers SFB649DP2005-021, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- René Carmona & Sergey Nadtochiy, 2009. "Local volatility dynamic models," Finance and Stochastics, Springer, vol. 13(1), pages 1-48, January.
- Michal Benko & Alois Kneip, 2005. "Common functional component modelling," SFB 649 Discussion Papers SFB649DP2005-016, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- M. Benko & M. Fengler & W. Härdle & M. Kopa, 2007. "On extracting information implied in options," Computational Statistics, Springer, vol. 22(4), pages 543-553, December.
- Damiano Brigo & Francesco Rapisarda & Abir Sridi, 2013. "The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles," Papers 1302.7010, arXiv.org, revised Sep 2014.
- Song Song & Peter J. Bickel, 2011.
"Large Vector Auto Regressions,"
SFB 649 Discussion Papers
SFB649DP2011-048, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Song Song & Peter J. Bickel, 2011. "Large Vector Auto Regressions," Papers 1106.3915, arXiv.org.
- Bernales, Alejandro & Guidolin, Massimo, 2014.
"Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests,"
Journal of Banking & Finance, Elsevier, vol. 46(C), pages 326-342.
- Alejandro Bernales & Massimo Guidolin, 2012. "Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests," Working Papers 456, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Bo Zhao & Stewart Hodges, 2013. "Parametric modeling of implied smile functions: a generalized SVI model," Review of Derivatives Research, Springer, vol. 16(1), pages 53-77, April.
- Bernd Engelmann & Matthias Fengler & Morten Nalholm & Peter Schwendner, 2006. "Static versus dynamic hedges: an empirical comparison for barrier options," Review of Derivatives Research, Springer, vol. 9(3), pages 239-264, November.
- Michel van der Wel & Sait R. Ozturk & Dick van Dijk, 2015. "Dynamic Factor Models for the Volatility Surface," CREATES Research Papers 2015-13, Department of Economics and Business Economics, Aarhus University.
- Enzo Giacomini & Wolfgang Härdle & Volker Krätschmer, 2009.
"Dynamic semiparametric factor models in risk neutral density estimation,"
AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 93(4), pages 387-402, December.
- Enzo Giacomini & Wolfgang Härdle & Volker Krätschmer, 2008. "Dynamic Semiparametric Factor Models in Risk Neutral Density Estimation," SFB 649 Discussion Papers SFB649DP2008-038, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Wallmeier, Martin, 2012. "Smile in Motion: An Intraday Analysis of Asymmetric Implied Volatility," FSES Working Papers 427, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
- Park, Byeong U. & Mammen, Enno & Härdle, Wolfgang & Borak, Szymon, 2009.
"Time Series Modelling With Semiparametric Factor Dynamics,"
Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 284-298.
- Szymon Borak & Wolfgang Härdle & Enno Mammen & Byeong U. Park, 2007. "Time Series Modelling with Semiparametric Factor Dynamics," SFB 649 Discussion Papers SFB649DP2007-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Maria Grith & Wolfgang Karl Härdle & Melanie Schienle, 2010. "Nonparametric Estimation of Risk-Neutral Densities," SFB 649 Discussion Papers SFB649DP2010-021, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Denis Belomestny & Markus Reiß, 2006.
"Spectral calibration of exponential Lévy models,"
Finance and Stochastics, Springer, vol. 10(4), pages 449-474, December.
- Denis Belomestny & Markus Reiß, 2006. "Spectral calibration of exponential Lévy Models [1]," SFB 649 Discussion Papers SFB649DP2006-034, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Hanousek, Jan & Novotný, Jan, 2012.
"Price jumps in Visegrad-country stock markets: An empirical analysis,"
Emerging Markets Review, Elsevier, vol. 13(2), pages 184-201.
- Jan Novotny, 2010. "Price Jumps in Visegrad Country Stock Markets: An Empirical Analysis," CERGE-EI Working Papers wp412, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Hans Buehler, 2006. "Consistent Variance Curve Models," Finance and Stochastics, Springer, vol. 10(2), pages 178-203, April.