replacement of a real security by synthetic strategies may in itself cause enough uncertainty about the price volatility of the … securities ("cash") and index futures to synthesize a European put on the underlying portfolio. In the absence of a real traded … volatility associated with current dynamic hedging strategies. There will thus be less information transmitted to those people …

Given a European derivative security with an arbitrary payoff function and a corresponding set of" underlying … securities on which the derivative security is based, we solve the dynamic replication problem: find a" self-financing dynamic …-dependent options and options on assets with stochastic volatility and jumps. " …

We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates …

credit derivative spreads of Japanese banks. Although the Japan premium in the euro-dollar market seemed to have virtually …

The behavioral finance literature cites the frozen concentrated orange juice (FCOJ) futures market as a prominent … example of the failure of prices to reflect fundamentals. This paper reexamines the relation between FCOJ futures returns and … is good news for the theory and for market efficiency, not bad news. In terms of residual FCOJ return volatility, we also …

This paper extends the class of stochastic volatility diffusions for asset returns to encompass Poisson jumps of time … as well as stochastic volatility with a pronounced negative relationship between return and volatility innovations. We …

volatility through time. We are particularly interested in understanding whether periods of high volatility are correlated across … countries. The analysis uses both on univariate and bivariate switching volatility models. Our results do not rely on the … correlation coefficients, but on the co-dependence of volatility regimes. The results indicate that high-volatility episodes are …

The recent volatility of stock prices has caused many people to conclude that investors have become irrational in … valuing at least some stocks. This paper investigates the behavior of the volatility of stocks on the Nasdaq, which tend to be … portfolio. It also analyzes the relation of the unusual Nasdaq volatility to the hot IPO market in 1998 and 1999. The factor …