The paper ”Exotic Option Pricing in Stochastic Volatility Levy Models and with Fractional Brownian Motion” aims on extending the restrictive Black-Scholes model by allowing volatility to evolve randomly. These models are used to price exotic derivatives and certificates. The first stochastic...

Already before the EU Directive 96/92/EG was passed in 1996, some countries in the EU had started their liberalisation process for energy markets. So, in 1991, Norway established a national power market that in 1996 turned into the multinational power exchange Nord Pool, including all Nordic...

In this study, the forward premium anomaly is revisited. The bias of the forward rate in predicting the future spot rate implies the failure of Uncovered Interest Parity (UIP), the backbone of many economic models in international finance. In analyzing the classical explanations of the puzzle,...

Economics

Introduction to the theory of international trade and finance with applications to current policy issues. From the course home page: Course Description The course will help us understand what determines the flow of goods across countries, i.e. international trade, and what determines the flow of...

This course will focus on the environment of firms with particular emphasis on economic variables such as GNP, inflation, interest rates, exchange rates and international trade. The course is divided into five parts: The first presents the basic tools of macroeconomic management by focusing on...

The major objective of this thesis is to investigate whether there exists a stable long run and short run equilibrium relationship between real money balances (M1 or M2) and their determinants in Thailand. A cointegration analysis and the Vector Error Correction Model (VECM) are conducted on...

Whether or not currency markets may be regarded as efficient or not has been a hotly debated issue in the academic literature over recent decades. Economic theory would suggest that these markets should be efficient because they are apparently good examples of a perfectly competitive market...

Financial processes may possess long memory and their probability densities may display heavy tails. Many models have been developed to deal with this tail behaviour, which reflects the jumps in the sample paths. On the other hand, the presence of long memory, which contradicts the efficient...

This paper compares the true, ex-ante forecasting performance of a micro-based model against both a standard macro model and a random walk. In contrast to existing literature, which is focused on longer horizon forecasting, we examine forecasting over horizons from one day to one month (the...