Andrea Gombani, Stefan Jaschke, Wolfgang Runggaldier:
A filtered no arbitrage model for term
structures from noisy data, June 2002.
Version: June 22, 2002: PDF 336KB
Stefan Jaschke, Claudia Klüppelberg, Alexander Lindner:
Asymptotic Behavior of Tails and Quantiles of Quadratic Forms of
Gaussian Vectors, June 2002.
Version: June 20, 2002: PDF 296KB
Discussion Paper 280 SFB 386 TU Munich
Stefan Jaschke and Yuze Yiang:
Approximating Value at Risk in
Conditional Gaussian Models, September 2001.
In Applied Quantitative Finance, Springer, edited by Wolfgang Härdle, Torsten Kleinow, and Gerhard Stahl
Stefan Jaschke:
The Cornish-Fisher-Expansion in the Context of
Delta-Gamma-Normal Approximations, March 2001.
Version 1.41, December 4, 2001: PDF 356KB
Other versions:
Discussion Paper 2001-54, SFB 373,
Humboldt-Universität Berlin
Stefan Jaschke:
Quantile-VaR is the Wrong Measure to Quantify
Market Risk for Regulatory Purposes, October 2000.
Version 1.4, July 27, 2001: PDF 192KB
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Discussion Paper 2001-55, SFB 373,
Humboldt-Universität Berlin
Stefan Jaschke and Uwe Küchler:
Coherent Risk Measures, Valuation
Bounds, and (mu,rho)- Portfolio Optimization, February 1999.
Version 1.39, July 7, 2000: abstract, PDF 440KB
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Discussion Paper 1999-64, SFB 373,
Humboldt-Universität Berlin
Finance and
Stochastics, 2001, vol. 5(2), p.181-200.
Stefan Jaschke:
Higher Order Forward Rate Agreements
and the Smoothness of the Term Structure, November 1998.
Version 1.1, November 22, 1998: abstract, Postscript 573k, zipped Postscript 166k
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Discussion Paper 1999-13, SFB 373
, Humboldt-Universität Berlin
Richard Stehle, Stefan Jaschke, and Stephan Wernicke:
Tax Clientele
Effects in the German Bond Market, May 1997.
Version 1.91, February 26, 1999: abstract, Postscript 1.1M, zipped Postscript 265k
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Discussion Paper 1998-11, SFB 373
, Humboldt-Universität Berlin
Stefan Jaschke:
Super-Hedging and Arbitrage Pricing in
Markets with Transaction Costs and Trading Constraints, December 1996.
This is a revised version of a part of my thesis, written when I visited Laboratoire de Probabilités as a PostDoc.
Version of December 3, 1996: Postscript 264k, zipped Postscript 104k
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Discussion Paper 1998-11, SFB 373
, Humboldt-Universität Berlin
Stefan Jaschke:
A Note on the Present Value Principle
in Markets with Transaction Costs, July 1996.
We prove a general result relating the minimal pricing error one incurs in pricing all bonds with one term structure to the maximal arbitrage profit one can achieve with portfolios of a certain size. This can be interpreted as a generalization of the ``fundamental theorem of finance'' to markets with transaction costs.
Version of July 15, 1996: Postscript 108k, zipped Postscript 44k
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Discussion Paper 1996-57, SFB 373
, Humboldt-Universität Berlin
Stefan Jaschke, Richard Stehle, and Stephan Wernicke:
Arbitrage und
die Gültigkeit des Barwertprinzips im Markt für Bundeswertpapiere, April
1996.
Version 3.94, April 18, 1999: Postscript 664k, zipped Postscript 194k
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Arbitrage am deutschen Rentenmarkt und die
Bestimmung der Zinsstruktur, Discussion Paper 1996-57, SFB 373
, Humboldt-Universität Berlin
Zeitschrift für betriebswirtschaftliche
Forschung, Jul/Aug 2000, pp.440-468.
Stefan Jaschke:
Arbitrage Bounds for the Term Structure of
Interest Rates, April 1995.
Version 4.3, August 24, 1997: Postscript 290k, zipped Postscript 113k
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Discussion Paper 1995-35, SFB 373
, Humboldt-Universität Berlin
Finance and
Stochastics, vol 2(1), pp.29-40.
Stefan Jaschke:
A Note on Stochastic Volatility, GARCH
models, and Hyperbolic Distributions, December 1994.
We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions. These distributions have been found to fit exceptionally well to the empirical distribution of stock returns. We review the background of hyperbolic distributions and prove stationary distributions of certain GARCH-type models to be generalized hyperbolic.
Version 1.1, April 6, 2000: PDF 276KB
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Discussion Paper 1998-23, SFB 373
, Humboldt-Universität Berlin
Stefan Jaschke:
Exploratory Data Analysis of Short-Term
Interest Rates, May 1994.
Starting from the model of Chan, Karolyi, Longstaff and Sanders (1992) we explore short-term interest rates. Descriptive/non-parametric results for US and German short-term interest rates are presented, showing that some of the assumptions implicit in diffusion models are not appropriate.
Version of November 23, 1994: Postscript 338k, zipped Postscript 88k
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Discussion Paper 1994-47, SFB 373
, Humboldt-Universität Berlin