Bibliography

Black, F. and Scholes, M. (1973).

The pricing of options and corporate liabilities, Journal of Political Economy, 81: 637:654.

Dauxois, J., Pousse, A., and Romain, Y. (1982).

Asymptotic Theory for the Principal Component Analysis of a Vector Random Function: Some Applications to Statistical Inference, Journal of Multivariate Analysis 12: 136-154.

Flury, B. (1988).

Common Principal Components and Related Models, Wiley, New York.

Fengler, M., Härdle, W., and Schmidt, P. (2002).

Common Factors Governing VDAX Movements and the Maximum Loss, Journal of Financial Markets and Portfolio Management 16(1): 16-29.

Fengler, M., Härdle, W., and Villa, P. (2003).

The Dynamics of Implied Volatilities: A common principle components approach, Review of Derivative Research 6: 179-202.

Fengler, M., Härdle, W., and Mammen, E. (2004).

Implied Volatility String Dynamics, CASE Discussion Paper, http://www.case.hu-berlin.de .

Föllmer, H. and Schied A. (2002).

Stochastic Finance, Walter de Gruyter.

Härdle, W. (1990).

Applied Nonparametric Regression, Cambridge University Press.

Hafner, R. and Wallmeier, M. (2001).

The Dynamics of DAX Implied Volatilities, International Quarterly Journal of Finance 1(1): 1-27.

Härdle, W. and Simar, L. (2003).

Applied Multivariate Statistical Analysis, Springer-Verlag Berlin Heidelberg.

Kneip, A. and Utikal, K. (2001).

Inference for Density Families Using Functional Principal Components Analysis, Journal of the American Statistical Association 96: 519-531.

Ramsay, J. and Silverman, B. (1997).

Functional Data Analysis, Springer, New York.

Rice, J. and Silverman, B. (1991).

Estimating the Mean and Covariance Structure Nonparametrically when the Data are Curves, Journal of Royal Statistical Society, Series B 53: 233-243.

Silverman, B. (1996).
Smoothed Functional Principal Components Analysis by Choice of Norm, Annals of Statistics 24: 1-24.