In some recent papers, such as Elliott & van der Hoek, Hu & Öksendal, a fractional Black-Scholes model have been proposed as an improvement of the classical Black-Scholes model. Common to these fractional Black-Scholes models, is that the driving Brownian motion is replaced by a fractional...

MNB has received daily, transaction-level data on key Hungarian interest rate derivatives markets since the beginning of 2009 with the launching of the K14 report. The dataset that has accumulated since early 2009 provides an opportunity to better comprehend the structure and functioning of...

We will investigate valuation of derivatives with payoff defined as a nonlinear though close to linear function of tradable underlying assets. Derivatives involving Libor or swap rates in arrears, i.e. rates paid in a wrong time, are a typical example. It is generally tempting to replace the...

In our paper we present the most important characteristics of the forint interest rate swap market, as well as examine the determinants and the information content of the forint interest rate swap spreads. The turnover of the forint interest rate swap market has grown dynamically in recent...

This paper investigates the use of price intensities to estimate volatilities based on high-frequency data. We interpret the conditional probability for the occurence of a price event within a certain time horizon as a risk measure which allows us to obtain an estimator of the conditional...

This paper analyzes the interday stability of the price process using transaction data. While the vast majority of empirical studies on the microstructure of financial markets rests on the tacit assumption that observed prices are generated by a time-invariant price process, we question this...

This paper delineates the simultaneous impact of non-anticipated information on mean and variance of the intraday return process by including appropriate variables accounting for the news flow into both the mean and the variance function. This allows us to differentiate between the consistent...

This paper investigates the intraday response of CBOT T-bond futures prices to surprises in headline figures contained in scheduled U.S. macroeconomic news releases. While several previous studies try to find out which releases have a significant impact on prices and volatility in financial...

This paper investigates the time between transactions on financial markets. It is assumed that the interval between transactions is a random variable and the relation- ship between the probability to observe a transaction at each instant of time and the type of the previous trade is...

This paper studies empirical issues of one-factor yield curve models. We focus on the models by Hoand Lee (1986), Hull and White (1990) and Moraleda and Vorst (1996). To be consistent in thecomparison of the models, we derive them all within the Ritkchen and Sankarasubramanian (1995)framework,...