volatility and risk aversion that are similar to the ones observed in the data. In addition, the model produces an implied …

This paper provides regime-switching stochastic volatility extensions of the LIBOR market model. First, the … instantaneous forward LIBOR volatility is modulated by a continuous time homogeneous Markov chain. In a second parameterization, the … volatility is modelled by a square root process with a regime-switching reference level. We obtain analytical solutions for the …

new explanation of the smile pattern of implied volatility related to the lack of market liquidity. Finally we present …

This paper sheds light on the influence of exchange rate volatility on foreign direct investment (FDI), both at the … volatility: the effct is negative for low levels of uncertainty and positive for higher levels. I also construct a real …-options theory of a multinational, which contemplates FDI to relocate production abroad under a stochastic exchange rate. The model …

relates the dispersion in leverage ratios to various industry characteristics, such as cash flow volatility or bankruptcy …

pricing dierencesbetween index and stock options, the cross-sectional variation in stock option expensiveness,the volatility …

admissible sets of for-ward swap rates spanning a given tenor structure. We relate this conceptto results in graph theory by …

span the volatility risk, an investor increases her investment in theunderlying stock. In addition, the investors indirect … utility increases significantly when allowed to span the volatility risk using variance swap contracts. …