Following a trend of sustained and accelerated growth, the VIXfutures and options market has become a closely followed, active andliquid market. The standard stochastic volatility models | whichfocus on the modeling of instantaneous variance | are unable to t theentire term structure of VIX...

We model the dynamics of asset prices and associated derivatives by considerationof the dynamics of the conditional probability density process for the value of an assetat some specied time in the future. In the case where the asset is driven by Brownianmotion, an associated \master equation"...

Real options present a wide topic in investment litterature nowadays. However, despite bigadvances in the single asset investment pricing, the theory is miser of informations aboutproblems involving more than one asset. We show in this paper that using dynamic programming,one can find an...

Motivated by the Chinese experience, we analyze a semi-open economy where the centralbank has access to international capital markets, but the private sector has not. Thisenables the central bank to choose an interest rate different from the international rate.We examine the optimal policy of...

This paper evaluates the predictive power of different information sets for the European Central Bank(ECB) interest rate setting behavior. We employ an ordered probit model, i.e. a limited dependent variableframework, to take into account the discreteness displayed by policy rate changes. The...

Several authors have documented a reduced variability ofoutput and inflation in the United States since the beginningof the 1980s.1 In fact, a comparison of the 1980:1-2001:2 periodwith the two preceding decades shows that the standarddeviation of quarterly output growth has fallen 30...