Market option prices in last 20 years confirmed deviations from the Black and Scholes (BS) models assumptions, especially on the BS implied volatility. Implied binomial trees (IBT) models capture the variations of the implied volatility known as "volatility smile". They provide a discrete...

This dissertation contains applications of agent-based financial market models and nonlinear econometric methods in financial economics. The first part deals with the analysis of the effectiveness of currency transaction taxes within financial market models with traders with heterogeneous...