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Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data. Audrino, Francesco: Forecasting correlations during the late-2000s financial crisis : The short-run component, the long-run component, and structural breaks. Monetary policy regimes: implications for the yield curve and bond pricing.
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 illiq-uid 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(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)
Acknowledgments I would like to thank my adviser Charles B. Blankart for his support, criticism , and guidance during the development of this work. Thanks also to my second adviser Christian Kirchner, particularly for his insightful remarks on the law. I am grateful to my colleagues, Antje Hildebrandt, Dirk En-gelmann, Gerrit Köster, Hans-Theo Normann, and(More)
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