exchange rates dynamics in the foreign currencies exchange markets in the classic finances theory; 3) the description on the … theory; 4) the derivation of the time dependent/time independent wave equation in the quantum finances theory; 5) the …/time independent wave equation in the quantum finances theory; 6) the discussion on the developed software program with the embedded …

Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums … general shape of the implied volatility function of the corresponding currency pair. Overall, we conclude that there is a …

We estimate a multivariate unobserved components-stochastic volatility model to explain the dynamics of a panel of six …

obtained from discrete time models by comparing them with high-frequency ex post estimates (e.g. realised volatility) based on … continuous time theory. In explanatory financial variability modelling this raises several methodological and practical issues … illustration provides an example of where an explanatory model outperforms realised volatility ex post. -- Financial variability …

predictive capability of currency volatility risk premia for currency returns. The volatility risk premium -- the difference … between expected realized volatility and model-free implied volatility -- reflects the costs of insuring against currency … volatility fluctuations, and the strategy sells high-insurance-cost currencies and buys low-insurance-cost currencies. The …

We estimate a multivariate unobserved components stochastic volatility model to explain the dynamics of a panel of six …