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Volatilities -- Extensions of the Black-Scholes theory to other types of options (futures options, currency options …This textbook provides the necessary techniques from financial mathematics and stochastic analysis for the valuation of … volatilities in capital markets. Furthermore, he illustrates how to apply and extend the Black-Scholes theory to several fields in …
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In this paper, I estimate a series of long run reallocative shocks to sectoral employment using a stochastic volatility model of sectoral employment growth for the United States from 1960 through 2011. Reallocative shocks (which primarily measure construction and technology busts) have little...
Persistent link: https://www.econbiz.de/10010277346
This paper compares the aggregate effects of sectoral reallocation in the United States and Western Germany using a stochastic volatility model of sectoral employment growth. Reallocative shocks have no effect on the natural rate of unemployment in either country, and there is mild evidence that...
Persistent link: https://www.econbiz.de/10010277351
human capital tend to be more productive, they also tend to be more vulnerable to turbulence. As such, our theory sheds some …
Persistent link: https://www.econbiz.de/10010279970
We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on economic activity and welfare. In the first part of the paper, the GARCH-SVARmodel is applied to measure empirically the effect of the conditional exogenous exchange rate...
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