This paper develops a method for pricing bivariate contingent claims under General Autoregressive Conditionally Heteroskedastic (GARCH) process. As the association between the underlying assets may vary over time, the dynamic copula with time-varying parameter offers a better alternative to any...

The study of significant deterministic seasonal patterns in financial asset returns is of high importance to academia and investors. This paper analyzes the presence of seasonal daily patterns in the VIX and S&P 500 returns series using a trigonometric specification. First, we show that, given...

From the CAC40 French stock index, we induce the implied market factor's level through the inversion of a closed form pricing formula for European calls on the CAC40. For this purpose, we assume that the CAC40 index is a disturbed observation of the actual market factor, the market factor's...

This paper investigates the effects of the spot-futures spread on the return and risk structure in currency markets. Using a bivariate dynamic conditional correlation GARCH framework, we find evidence of asymmetric effects of positive and negative spreads on the return and the risk structure of...

This article tests four regression models using the available data of Nigerian quoted small and medium-sized enterprises (SMEs) between 1999-2003. It is conceptualised that sustained growth, adequate liquidity and requisite profitability in the SME sector is significantly related to their...

The purpose of this study is to forecast option prices with simple backpropagation neural networks and to compare the results between conventional Black-Scholes model, the Black-Scholes model with pure implied volatility and neural network models over a seven-year period. This longitudinal study...

Price risk is an important factor for both copper purchasers who use the commodity as a major input in their production process and copper refiners who must deal with cash-flow volatility. We use information from NYMEX cash and futures prices to examine optimal hedging behaviour for agents in...

The treatment of this article renders closed-form density approximation feasible for univariate continuous-time models. Implementation methodology depends directly on the parametric-form of the drift and the diffusion of the primitive process and not on its transformation to a unit-variance...

The paper complements the reviews on the stochastic volatility models and option pricing. We discuss recent advances in modeling and estimation techniques which allow to investigate models with latent factors and non-unique risk-neutral probability measures. The issues related to the optimal...

We demonstrate that the volatility of Eurodollar options possesses its own volatility, and that this volatility of volatility appears to be a stochastic process. We give a theoretical approach to incorporate this stochastic volatility process into a generalization of the standard Black-Scholes...