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Home > Applied Quantitative Finance > Locally Time Homogeneous Time Series Modelling
Applied Quantitative Finance |
Wolfgang Karl Härdle; Nikolaus Hautsch; Ludger Overbeck
Springer Berlin Heidelberg
Applied Quantitative Finance
Locally Time Homogeneous Time Series Modelling
Authors

Mstislav Elagin; Vladimir Spokoiny

ARI Id

1664837615509_3724842

Access

Not Available Free

Pages

345-361

DOI

10.1007/978-3-540-69179-2_17

Chapter URL

https://rd.springer.com/chapter/10.1007/978-3-540-69179-2_17

Table of Contents of Book
Showing 1 to 20 of 23 entries
Chapters/HeadingsAuthor(s)PagesInfo
Front Matter
i-xxvi
Modeling Dependencies with Copulae
Wolfgang Härdle; Ostap Okhrin; Yarema Okhrin
3-36
Quantification of Spread Risk by Means of Historical Simulation
Christoph Frisch; Germar Knöchlein
37-67
A Copula-Based Model of the Term Structure of CDO Tranches
Umberto Cherubini; Sabrina Mulinacci; Silvia Romagnoli
69-81
VaR in High Dimensional Systems – a Conditional Correlation Approach
Helmut Herwartz; Bruno Pedrinha
83-102
Rating Migrations
Steffi Höse; Stefan Huschens; Robert Wania
105-123
Cross- and Autocorrelation in Multi-Period Credit Portfolio Models
Christoph K. J. Wagner
125-138
Risk Measurement with Spectral Capital Allocation
Ludger Overbeck; Maria Sokolova
139-159
Valuation and VaR Computation for CDOs Using Stein’s Method
Nicole El Karoui; Ying Jiao; David Kurtz
161-189
Least Squares Kernel Smoothing of the Implied Volatility Smile
Matthias R. Fengler; Qihua Wang
193-207
Numerics of Implied Binomial Trees
Wolfgang Härdle; Alena Myšičková
209-231
Application of Extended Kalman Filter to SPD Estimation
Zdeněk Hlávka; Marek Svojik
233-247
Stochastic Volatility Estimation Using Markov Chain Simulation
Nikolaus Hautsch; Yangguoyi Ou
249-274
Measuring and Modeling Risk Using High-Frequency Data
Wolfgang Härdle; Nikolaus Hautsch; Uta Pigorsch
275-293
Valuation of Multidimensional Bermudan Options
Shih-Feng Huang; Meihui Guo
295-309
Multivariate Volatility Models
Matthias R. Fengler; Helmut Herwartz
313-326
The Accuracy of Long-term Real Estate Valuations
Rainer Schulz; Markus Staiber; Martin Wersing; Axel Werwatz
327-344
Locally Time Homogeneous Time Series Modelling
Mstislav Elagin; Vladimir Spokoiny
345-361
Simulation Based Option Pricing
Denis Belomestny; Grigori N. Milstein
363-378
High-Frequency Volatility and Liquidity
Nikolaus Hautsch; Vahidin Jeleskovic
379-397
Chapters/HeadingsAuthor(s)PagesInfo
Showing 1 to 20 of 23 entries
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