This dissertation is concerned with the forecasting performance of time series models for the price movements of high-frequency transaction data on the Frankfurt Stock Exchange. The availability of high quality data of this kind at an affordable cost makes it possible to investigate the...

A major theme of this book is the development of a consistent unified model framework for the evaluation of bond options. In general options on zero bonds (e.g. caps) and options on coupon bearing bonds (e.g. swaptions) are linked by no-arbitrage relations through the correlation structure of...