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 ...

Several new tests are proposed for examining the adequacy of a family of parametric models against large nonparametric alternatives. These tests formally check if the bias vector of residuals from ...

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 ...

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 ...