This article explores the structure of the volatility transmission mechanism between stock and currency markets for Eurozone economies with systemic fiscal problems such as Greece, Italy, Ireland, Portugal and Spain. We focus on the structural properties of volatility diffusion, in times of...

This paper extends the framework of semi-analytical approximations to the valuation of American options by exploring the performance of competing functional forms for the value of an American option. The value function of the early exercise premium is modelled as a product of two functions, one...

We adopt a quadratic approach to the valuation of the option to exchange one asset for another, when the option owner has the right to exercise before option expiration. Accurate pricing results are obtained and tested against competitive models in the literature, building on the hypothesis that...

Trading activity in G7 stock markets reflects not only the macroeconomic and financial impact of these G7 economies in international economic growth, but also their financial interdependence. While this nexus of major stock markets has been explored in terms of volatility and return spillovers,...

Trading activity in G7 stock markets reflects not only the macroeconomic and financial impact of these G7 economies in international economic growth, but also their financial interdependence. While this nexus of major stock market has been explored in terms of volatility and return spillovers,...

The legitimacy, the identity and the social impact of financial institutions go beyond the generation of revenues for providers of capital, through financial intermediation. Financial institutions bear significant corporate social responsibility (CSR). We produce measures of CSR disclosure and...