At the beginning of 2004, the Eurosystem implemented several modifications of its operational framework and liquidity management aiming at enhancing market efficiency. The purpose of this article is to study the effects of theses changes in the spread between the Eonia and the minimum bid rate....

En mars 2004, l’Eurosystème a mis en place différentes modifications de son cadre opérationnel et de sa gestion de la liquidité. L’objectif de cet article est d’étudier les effets de ces changements sur le niveau et la volatilité de l’écart entre l’Eonia et le taux de soumission...

According to traditional option pricing models, financial markets underestimate the impact of tail risk. In this article, we put forward a European option pricing model based on a set of assumptions that ensure, inter alia, that extreme events are better taken into account. Using simulations, we...

The article discusses financial market liquidity and its applications to the stock market. It says market liquidity has a time attribute in which investors needs the shortest possible trade time to prevent price reversal risk, has volume in which there must be enough bids to satisfy the needs of...

According to traditional option pricing models, financial markets underestimate the impact of tail risk. In this article, we put forward a European option pricing model based on a set of assumptions that ensure, inter alia, that extreme events are better taken into account. Using simulations, we...

At the beginning of 2004, the Eurosystem implemented several modifications of its operational framework and liquidity management aiming at enhancing market efficiency. The purpose of this article is to study the effects of theses changes in the spread between the Eonia and the minimum bid rate....