News move markets and contains incremental information about stock reactions. Future trading volumes, volatility and returns are a ected by sentiments of texts and opinions expressed in articles. Earlier work of sentiment distillation of stock news suggests that risk prole reactions might differ...

The pricing accuracy and pricing performance of local volatility models crucially depends on absence of arbitrage in the implied volatility surface: an input implied volatility surface that is not arbitrage-free invariably results in negative transition probabilities and/ or negative local...

We address the inverse problem of local volatility surface calibration from market given option prices. We integrate the ever-increasing ow of option price information into the well-accepted local volatility model of Dupire. This leads to considering both the local volatility surfaces and their...

In this study I apply forward sensitivity analysis to the dynamical system of nonlinear asset flow differential equations (AFDE). I find that all parameters in AFDE are needed and can be estimated from market prices and net asset values data. Moreover, the market price is the most fluctuating...

News carry information of market moves. The gargantuan plethora of opinions, facts and tweets on financial business offers the opportunity to test and analyze the influence of such text sources on future directions of stocks. It also creates though the necessity to distill via statistical...

Sin abstract

Recent decades have seen a considerable expansion of global trade and a simultaneous decline in inflation volatility. This paper investigates whether greater openness to trade helps achieve inflation stability. Using panel data for a sample of developing and industrial countries over the period...

I study the effects of uncertainty on technology adoption and thereby on volatility and growth. I present an analytically-tractable model in which: (i) uncertainty about the returns to adoption delays technology diffusion; and (ii) the mean and volatility of output growth are jointly determined...

We examine how credit constraints affect the cyclical behavior of productivity-enhancing investment and thereby volatility and growth. We first develop a simple growth model where firms engage in two types of investment: a short-term one and a long-term productivity-enhancing one. Because it...

This work presents a robust empirical approach to dealing with the issue of the long run relationship between macroeconomic volatility, consumption behaviour and welfare for a large sample of countries. Differing from previous works, our empirical strategy is grounded on consumption and takes...