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Qualitative and quantitative properties of the Cornish-Fisher-Expansion in the context of Delta-Gamma-Normal approaches to the computation of Value at Risk are presented. Some qualitative deficiencies of the Cornish-Fisher-Expansion – the monotonicity of the distribution function as well as convergence are not guaranteed – make it seem unattractive. In many(More)
Implied volatility is one of the key issues in modern quantitative finance, since plain vanilla option prices contain vital information for pricing and hedging of exotic and illiquid options. European plain vanilla options are nowadays widely traded, which results in a great amount of high-dimensional data especially on an intra day level. The data reveal a(More)
This paper discusses different mechanisms of subsidy allocation invoked by operation of law. We compare the allocation of subsidies via committees to the allocation of subsidies through the reference principle, which binds public support to performance at the box office. The analysis is embedded in a broadly disposed regression analysis of the determinants(More)
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