This paper examines the volatility of banks equity weekly returns for six banks (coded B1 to B6) using GARCH models … in Student's t-distribution are adjudged the best volatility models for B2 and B3 respectively. The study recommends that … in modelling stock market volatility, variants of GARCH models and alternative error distribution should be considered …

geometric Brownian motion. Finally, we derive pricing bounds for convertible bonds in an uncertain volatility model, i.e. when … the volatility of the firm value process lies between two extreme values. …

balance data between December 1994 and June 2005 for a sample of Belgian bank retail savings deposits accounts. We find that …

The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied … Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small … investigating long range dependence in the factor loadings series. Our result reveals that shocks to volatility persist for a very …

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

volatility, and that a rational bubble proxy is a significant driver of prices. However, neither latent information nor rational …

This paper explores the extent to which interest risk exposure is priced in bank margins. Our contribution to the … for earnings from bank-individual maturity transformation strategies, we find all banks to charge additional fees for … macroeconomic interest volatility exposure. Microeconomic on-balance interest risk exposure from maturity transformation, however …