This article investigates the statistical and economic implications of adaptive forecasting of exchange rates with panel data and alternative predictors. The candidate exchange rate predictors are drawn from (i) macroeconomic 'fundamentals', (ii) return/volatility of asset markets and (iii)...

This paper presents a methodf or calibrating a multi currency lognormal LIBOR Market Model to market data of at-the-money caps, swaptions and FX options. By exploiting the fact that multivariate normal distributions are invariant under orthonormal transformations, the calibration problem is...

With growing populations, the size of economies, and technological innovations, financial markets are increasingly becoming larger, more diverse, complicated, and volatile. Shocks from one market can propagate very quickly to other markets, as we saw with the global financial crisis (GFC) and...

While enhancing market quality has always been an important goal, this challenge has taken on even greater significance with increasing competition between securities markets both nationally and internationally. This thesis examines the influence of several key market design features on the...

Default correlations have been an important research area in credit risk analysis. This thesis aims to extend the one-firm structural model of default to the two-firm situation for valuing default correlations. In the structural approach, default happens when the firm value falls below a default...

Employee stock options (ESOs) are highly exotic derivatives including various forms of call options and performance shares. Much effort in the academic literature has been devoted to modelling employee risk aversion and early exercise of ESOs and less attention has been paid to the effects of...

This paper tests a simple market fraction asset pricing model with heterogeneous agents. By selecting a set of structural parameters of the model through a systematic procedure, we show that the autocorrelations (of returns, absolute returns and squared returns) of the market fraction model...

We develop a continuous-time asset price model to capture the time series momentum documented recently. The underlying stochastic delay differential system facilitates the analysis of effects of different time horizons used by momentum trading. By studying an optimal asset allocation problem, we...

This thesis contains three papers that examine various issues pertaining to the market structure and trading processes on the Singapore Exchange (SGX). Through the use of proprietary data from SGX, each paper addresses a unique area that is often overlooked in literature but is a well-documented...

This thesis examines the forecastability of exchange rates in the presence of trend breaks. In particular, its focus is the predictive power of the interest rate differential for the exchange rate. Chapter 1 is the Introduction to the thesis. In this Chapter, I briefly review the relevant...