Auteur Peter Christoffersen
Documents disponibles écrits par cet auteur (2)
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Jeremy Berkowitz, Auteur ; Peter Christoffersen ; Denis Pelletier, Auteur |We present new evidence on disaggregated profit and loss (P/L) and value-at-risk (VaR) forecasts obtained from a large international commercial bank. Our data set includes the actual daily P/L generated by four separate business lines within the[...]
Article : texte imprimé
Peter Christoffersen, Auteur ; Steven Heston, Auteur ; Kris Jacobs, Auteur |State-of-the-art stochastic volatility models generate a "volatility smirk" that explains why out-of-the-money index puts have high prices relative to the Black-Scholes benchmark. These models also adequately explain how the volatility smirk mov[...]
