This paper carries out a comparative analysis of the calibration and performance of a variety of options pricing models. These include Black and Scholes (J Polit Econ 81:637–659, <CitationRef CitationID="CR6">1973</CitationRef>), the Gram–Charlier (GC) approach of Backus et al. (<CitationRef CitationID="CR4">1997</CitationRef>), the stochastic volatility (HS) model of Heston...</citationref></citationref>

This paper investigates the estimation of long-term VaR. It also suggests a simple approach to the estimation of long-term VaR that avoids problems associated with the square-root rule for extrapolating VaR, as well as those associated with attempts to extrapolate day-to-day volatility forecasts...

Underfunding of defined benefit (DB) pension schemes is prevalent throughout the Western world, and no more so than Ireland. This paper examines underfunding of DB schemes and discusses alternative ways of overcoming this problem. It critically reviews alternative government sponsored insurance...

This paper re-examines the influence of the stock of gold and the interest rate on the gold-standard price level using the Johansen cointegration procedure. It finds that two equilibrium relationships exist between the price level, the stock of gold and the interest rate, and that traditional...