Dynamic Semiparametric Factor Models in Pricing Kernels Estimation

  • Enzo Giacomini
  • Wolfgang Härdle
Part of the Contributions to Statistics book series (CONTRIB.STAT.)

Dynamic semiparametric factor models (DSFMs) smooth in time and space simultaneously, approximating complex dynamic structures by basis functions and a time series of loading coefficients. In this paper DSFMs are used to estimate in a time varying approach the term structure from state price densities and pricing kernels obtained from German option data.


Option Price Term Structure Implied Volatility Excess Kurtosis Price Kernel 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.


  1. [1]
    Ait-Sahalia, Y. and Lo, A.: Nonparametric estimation of state-price densities implicit in nancial asset prices. Journal of Finance. 53, 499-547(1998).CrossRefGoogle Scholar
  2. [2]
    Ait-Sahalia, Y. and Lo, A.: Nonparametric risk management and implied risk aver-sion. Journal of Econometrics. 94, 9-51 (2000).MATHCrossRefGoogle Scholar
  3. [3]
    Borak, S., Härdle, W., Mammen, E., and Park, B.: Time series modelling with semiparametric factor dynamics. Discussion paper, SFB 649 -Humboldt-Universität zu Berlin, 2007 23 (2007).Google Scholar
  4. [4]
    Breeden, D. and Litzenberger, R.: Prices of state-contingent claims implicit in op-tions prices. Journal of Business. 51, 621-651 (1978).CrossRefGoogle Scholar
  5. [5]
    Cont, R. and da Fonseca, J.: The Dynamics of Implied Volatility Surfaces. Quanti-tative Finance. 2(1), 45-60 (2002).CrossRefMathSciNetGoogle Scholar
  6. [6]
    Fengler, M., Härdle, W., and Mammen, E.: A semiparametric factor model for im-plied volatility surface dynamics. Journal of Financial Econometrics. 5, 189-218 (2007).CrossRefGoogle Scholar
  7. [7]
    Merton, R.: Theory of rational option pricing. The Bell Journal of Economics and Management Science. 4, 141-183 (1973).CrossRefMathSciNetGoogle Scholar

Copyright information

© Physica-Verlag Heidelberg 2008

Authors and Affiliations

  • Enzo Giacomini
    • 1
  • Wolfgang Härdle
    • 1
  1. 1.Humboldt-Universität zu BerlinGermany

Personalised recommendations