CH-9000 St. Gallen, 9000
University of St. Gallen - School of Economics and Political Science
in Total Papers Downloads
in Total Papers Citations
option pricing function, implied volatility, no-arbitrage constraints, state price density, local volatility, semi-nonparametric estimation, B-splines
Covariance spillovers, financial crisis, sovereign debt crisis, spillover index, variance decomposition, vector autoregression, variance spillovers
option pricing, high frequency data, realized variance, stochastic volatility
B-splines, Discount curve, No-arbitrage constraints, Monotone estimation, Yield curve
BEKK model, forecast error variance decomposition, multivariate GARCH, spillover index, value-at-risk, variance spillovers
realized variance, realized covariance, multivariate dependence, value at risk
Additive models, Backfitting, Nonparametric time series analysis, Specification tests, Realized variance; Heterogeneous autoregressive model
Barrier options, Static hedging, Skew risk
Copula Dynamic Conditional Correlation, Basket Options, Multivariate GARCH
functional principal component analysis, implied volatility surface, semiparametric factor models
Local Volatility Model, Barrier Options, Implied Volatility Smile, Empirical Hedging Analysis
implied volatility surface, smile, Black-Scholes formula, least squares kernel smoothing
Cookies are used by this site. To decline or learn more, visit our Cookies page.
This page was processed by apollobot1 in 0.656 seconds
We'd like to ask you to provide feedback on your experience with SSRN today. Your feedback will be used to enhance the site in the future.
Would you be willing to answer a few questions when you leave our site?
Yes, I'm willing to take part in a survey
No, thank you