Financial turmoil is becoming a fact of life in Latin America. The 1990s have been characterized by enormous volatility …

We review evidence on the Great Moderation together with evidence about volatility trends at the micro level to develop … a potential explanation for the decline in aggregate volatility since the 1980s and its consequences. The key elements … are declines in firm-level volatility and aggregate volatility-most dramatically in the durable goods sector-but with no …

relies on the interpretation of duration as (minus) theyield elasticity of the bond price, duration ismeasured as a bond …

depend not only on the level of the discount factor but also on its volatility. Collusive prices and proÞts increase with a … higher discount factor level, but decrease with its volatility. These results have important implications not only for the …

The volatility of interest rates is relevant for many financial applications. Under realistic assumptions the term …-float regime. The volatility processes of arbitraryterm differentials under the respective pre-switch arrangements are compared …

to model a credit quality process as an Itô integral with respect to a Brownian motion with a stochastic volatility … conditional default probabilities and credit spreads. An example for a volatility process is the square root of a Lévy …

often ignores the volatility smile, which is quite pronounced in the interest rate options market. This note solves the … thereby taking into account the volatility smile. This idea is known among practitioners for pricing CMS caps. We approach the …