Derivatemärkte bieten den Wirtschaftssubjekten verbesserte und erweiterte Möglichkeiten
zur Transformation von Risiken, die Separation einzelner Risikobestandteile und damit die …

We present three essays on the volatility structure of interest-rate markets and its influence
on the pricing of interest-rate derivatives. In the first essay, we find that days on which the …

Page 1 GABLER EDITION WISSENSCHAFT Andreas Dartsch Implizite Volatilitäten am Aktien-
und Optionsmarkt DUV Deutscher Universitäts Verlag GABLER VIEWEG WESTDEUTSCHER …

This study examines the intraday and weekend volatility on the German DAX. The intraday
volatility is partitioned into smaller intervals and compared to a whole day's volatility. The …

Practical use of stochastic volatility models requires a preliminary estimation of the
parameters of the unobservable latent volatility process. Two kinds of studies have covered …

The use of different time units in option pricing may lead to inconsistent estimates of time
decay and spurious jumps in implied volatilities. Different time units in the pricing model …

This thesis concerns estimation of stochastic volatility models in finance, discrete time
models as well as continuous time models. Returns of financial time series are investigated …

Volatility implied in the price of an option is widely accepted as the market's expectation of
volatility over its remaining life. The superiority of implied to historical volatility for forecasting …

This study evaluates three different time units in option pricing: trading time, calendar time
and continuous time using discrete approximations (CTDA). The CTDA-time model partitions …

In vielerlei Hinsicht können Derivate einen anderen, manchmal tieferen und manchmal auch
besseren Einblick in die Vorgänge in der Wirtschaft und vor allem am Finanzmarkt eröffnen …