We consider the joint dynamic of a basket of n-assets where each asset itself follows a SABR stochastic volatility … maturity swap (CMS) rates. Here we examine the influence of the swaption volatility cube on CMS spread options and compare our …

of the Dupire formula for local volatility models; E(σt2|Xt,Yt) is a fundamental quantity in the important mimicking …

This study aimed at understanding the Nigerian Stock Market with regards to volatility and prediction, to this effect … volatility. The study found the presence of volatility in all the four stock prices used, while stock price volatility was then …, only two companies¡¯ stock prices were predicted by volatility in their stock prices, while past stock prices predicted …

(with causal feedback), and that they affect the exchange rate volatility. Finally, with weekly data we highlight that the … euro/dollar volatility "Granger-cause" the rate of return on stocks. …

This paper investigates the effect of exchange rate volatility on US-UK bilateral trade flows. As part of econometric …

Heteroscedastic (ARCH) processes to the series in order to model their volatility. The paper finds that just two series have a …