Value-at-risk (VaR) is one of the most common risk measures used in finance. The correct estimation of VaR is essential for any financial institution, in order to arrive at the accurate capital ...

Average derivative functionals of regression are proposed for nonparametric model selection and diagnostics. The functionals are of the integral type, which under certain conditions allows their ...

We present a non-parametric method for calibrating jump–diffusion and, more generally, exponential Lévy models to a finite set of observed option prices. We show that the usual formulations of the ...