We propose a nonparametric estimation procedure for continuous- time stochastic models. Because prices of derivative … securities depend crucially on the form of the instantaneous volatility of the underlying process, we leave the volatility … not rely on replacing the continuous- time model by some discrete approximation. Instead the drift and volatility …

) introducing a more generalized volatility specification than has been used so far, and (ii) inducting jumps, yet retaining lattice …

financial markets: interest rate swap spreads. Our approach consists of jointly modeling the swap and Treasury term structures … significant. We also find that credit premia in swap spreads are positive on average. These premia, however, vary significantly …

to compute more complicated derivative securities …

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 …

I revisit the potential costs and benefits for Sweden of joining the Economic and Monetary Union (EMU) of the European … inflation and GDP growth might have been slightly higher if Sweden had been a member of EMU since the launch in 1999, but also … in the monetary union would be advantageous for Sweden …