. "0"^^ . . "We derived nonparametric estimator of the state price density (SPD) based on the observed prices of Call and Put options. The SPDs are compared to the true future price of the underlying and visualized by means of functional principal components."@en . . . . . . . "V\u00FDsledkem projektu je neparametrick\u00FD odhad rizikov\u011B neutr\u00E1ln\u00ED hustoty zalo\u017Een\u00FD na pozorovan\u00FDch cen\u00E1ch kupn\u00EDch a prodejn\u00EDch opc\u00ED. Odhadnut\u00E9 RNH jsou porovn\u00E1ny s rozd\u011Blen\u00EDm budouc\u00ED ceny akcie a analyzov\u00E1ny pomoc\u00ED metody funkcion\u00E1ln\u00EDch hlavn\u00EDch komponent."@cs . . "The project further develops existing research. The main aim is to investigate the asymptotic properties of non- and semi-parametric estimators of regression curves under nonstandard constraints with emphasis on applications in financial modelling. We will concentrate primarily on the estimation of the state price density (SPD) which describes the state of the market and allows pricing of exotic options. Application of the methods of functional factor analysis will allow lowerdimensional representation of the estimates and study of the dynamic development of these factors in dependence on time. Another goal of the project is the application of Changepoint Analysis and Stochastic Process Control on density estimates and application of these new methods on the dynamically estimated SPDs."@en . "Projekt bude rozv\u00EDjet ji\u017E zapo\u010Dat\u00FD v\u00FDzkum. Hlavn\u00EDm c\u00EDlem je v\u00FDzkum asymptotick\u00FDch vlastnost\u00ED neparametrick\u00FDch a semiparametrick\u00FDch odhad\u016F regresn\u00EDch k\u0159ivek za nestandardn\u00EDch podm\u00EDnek s d\u016Frazem na mo\u017En\u00E9 vyu\u017Eit\u00ED ve finan\u010Dn\u00EDm modelov\u00E1n\u00ED. Soust\u0159ed\u00EDme se zejm\u00E9na na regresn\u00ED k\u0159ivky vhodn\u00E9 pro odhad tzv. state price density (SPD), kter\u00E1 popisuje sou\u010Dasn\u00FD stav trhu a umo\u017E\u0148uje oce\u0148ov\u00E1n\u00ED exotick\u00FDch opc\u00ED. Aplikace metod funkcion\u00E1ln\u00ED faktorov\u00E9 anal\u00FDzy dovoluje reprezentaci v n\u00EDzkodimenzion\u00E1ln\u00EDm prostoru a studium dynamick\u00E9ho v\u00FDvoje t\u011Bchto faktor\u016F v z\u00E1vislosti na \u010Dase. Dal\u0161\u00EDm c\u00EDlem projektu je aplikace metod tzv. change-point analysis a stochastic process control na odhady hustot a zejm\u00E9na aplikace t\u011Bchto nov\u011B vyvinut\u00FDch metod na dynamicky odhadnut\u00E9 SPD." . " functional factor analysis" . . "constrained nonparametric regression" . " state price density" . . "constrained nonparametric regression, confidence regions, state price density, functional factor analysis, changepoint, stochastic process control"@en . "http://www.isvav.cz/projectDetail.do?rowId=1K04018"^^ . . . . . "Dynamic semi- and non-parametric models with applications in finance"@en . . . "2007-06-25+02:00"^^ . . "6"^^ . "1K04018" . "6"^^ . "0"^^ . " changepoint" . "1"^^ . " confidence regions" . . "Dynamick\u00E9 semiparametrick\u00E9 a neparametrick\u00E9 modely s aplikacemi ve financ\u00EDch" . .