Chemnitz, Techn. Universiẗat, Diss., 2003.

This paper examines the out-of-sample performance of two common extensions of the Black-Scholes framework, namely a GARCH and a stochastic volatility option pricing model. The models are calibrated to intraday FTSE 100 option prices. We apply two sets of performance criteria, namely out-of-sample valuation errors and Value-at-Risk oriented measures. When we analyze the fit to observed prices, GARCH clearly dominates both stochastic volatility and the benchmark Black Scholes model. However, the predictions of the market risk from hypothetical derivative positions show sizable errors. The fit to the realized profits and losses is poor and there are no notable differences between the models. Overall we therefore observe that the more complex option pricing models can improve on the Black Scholes methodology only for the purpose of pricing, but not for the Value-at-Risk forecasts. (author's abstract) / Series: Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

Frankfurt (Main), University, Diss., 2008. / Enth. 3 Sonderabdr.

Universiẗat, Diss., 1990--Linz.

Motivated by previous findings that discretization of financial time series can effectively filter the data and reduce the noise, this experimental study compares the trading performance of predictive models based on different modelling paradigms in a realistic setting. Different methods ranging from real-valued time series models to predictive models on a symbolic level are applied to predict the daily change in volatility of two major stock indices. The predicted volatility changes are interpreted as trading signals for buying or selling a straddle portfolio on the underlying stock index. Profits realized by this trading strategy are tested for statistical significance taking into account transaction costs. The results indicate that symbolic information processing is a promising approach to financial prediction tasks undermining the hypothesis of efficient captial markets. (author's abstract) / Series: Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

Zugl.: Köln, Univ., Diss., 2007

Bachelor-Arbeit Univ. St. Gallen, 2007.

Zugl.: Duisburg, Universiẗat, Diss., 1998. / Zugl.: Duisburg, Univ., Diss., 1998.

University, Diss., 1999--Trier.

Zugl.: Darmstadt, Techn. Hochsch., Diss., 1990, u.d.T.: Hauck, Wilfried: Börsenmässig gehandelte Finanzoptionen.