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Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin >
Discussion Papers, SFB 373, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/66280
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Fengler, Matthias R. | | en_US |
| dc.contributor.author | | Härdle, Wolfgang | | en_US |
| dc.contributor.author | | Mammen, Enno | | en_US |
| dc.date.accessioned | | 2012-11-19T15:23:21Z | | - |
| dc.date.available | | 2012-11-19T15:23:21Z | | - |
| dc.date.issued | | 2003 | | en_US |
| dc.identifier.pi | | urn:nbn:de:kobv:11-10050885 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/66280 | | - |
| dc.description.abstract | | 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 näive trader models. The model can be a backbone in risk management serving for value at risk computations and scenario analysis. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Humboldt-Universität Berlin | | en_US |
| dc.relation.ispartofseries | | Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2003,54 | | en_US |
| dc.subject.jel | | C14 | | en_US |
| dc.subject.jel | | G12 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Implied Volatility Surface | | en_US |
| dc.subject.keyword | | Smile | | en_US |
| dc.subject.keyword | | Generalized Additive Models | | en_US |
| dc.subject.keyword | | Backfitting | | en_US |
| dc.subject.keyword | | Functional Principal Component Analysis | | en_US |
| dc.title | | Implied volatility string dynamics | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 73007675X | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| dc.identifier.repec | | RePEc:zbw:sfb373:200354 | | - |
| Appears in Collections: | | Discussion Papers, SFB 373, HU Berlin
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