Equity derivatives markets [Elektronische Ressource] / von Kai Detlefsen

Equity Derivatives MarketsDISSERTATIONzur Erlangung des akademischen Gradesdoctor rerum politicarum(Doktor der Wirtschaftswissenschaft)eingereicht an derWirtschaftswissenschaftlichen Fakultätder Humboldt-Universität zu BerlinvonDipl.-Math. M.Sc.-Stat. Kai Detlefsen09.01.1976, KielPräsident der Humboldt-Universität zu Berlin:Prof. Dr. Christoph MarkschiesDekan der Wirtschaftswissenschaftlichen Fakultät:Prof. Oliver Günther, PhDGutachter:1. Prof. Dr. Wolfgang Härdle2. Prof. Dr. Rama ContTag des Kolloquiums: 15. Oktober 2007AbstractSince the ideas of arbitrage free pricing were born, finance has changed rad-ically - both in theory and practice. Derivatives markets have evolved andoptions serve nowadays as underlyings and as hedging instruments. In thisthesis, we consider some markets for equity derivatives. We start by statisti-cal analysis of the markets for European options and variance swaps becausetheseproductsareimportantforhedgingmorecomplexclaims. Thenwecon-sider different option pricing models and their calibration to observed pricesurfaces. Finally, we investigate the connection between option prices andthe fundamental economic concept of risk aversion by the empirical pricingkernel.