emphasis on the intervention carried out through derivative instruments. I use two different but related approaches to estimate … rate volatility in the short run. Second, I estimate event study regressions with intraday data, which allowed to confirm …

Option prices seem to behave in ways inconsistent with the Black-Scholes model. Implied volatility varies with the … strike price in a parabolic shape that is often called the volatility 'smile.' My objective in this paper is to identify … promising in explaining the volatility smile. Applying this to the ERM data, I find that the probability of a devaluation in the …

countries. Proxies are focused on both spot and derivative transactions that alter the central bank's foreign currency position …