In this paper, we use recursive and rolling cointegration methods to test for a system of several exchange rates being within the process of convergence. We use the methods to analyze how the convergence of five ERM exchange rates has developed during the ERM period. We find that the number of...

De ned contribution pension schemes and life <p> insurance contracts often have a minimum interest rate guar- <p> antee as an integrated part of the contract. This guarantee <p> is an embedded put option issued by the institution to the <p> individual, who is forced to hold the option in the portfolio. <p>...</p></p></p></p></p>