This paper will discuss the role of derivative products in international capital flows, especially in providing a means …

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

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. " …

replacement of a real security by synthetic strategies may in itself cause enough uncertainty about the price volatility of the … volatility associated with current dynamic hedging strategies. There will thus be less information transmitted to those people … trades implied by the dynamic hedging strategies, In effect, the stocks' future price volatility can rise because of a …

demonstrate that although international capital movements and financial volatility can play a role in destabilizing the economy is …

finance higher investment and growth; (ii) insure against aggregate shocks and reduce consumption volatility; and (iii …

reinforcing effects. In our model, capital controls reduce macroeconomic volatility and increase standard measures of consumer …