This paper deals with the impact of the arrival of public information on the intraday trading of highly liquid stocks quoted on the Paris Bourse.

We develop a discrete-time stochastic volatility option pricing model, which exploits the informationcontained in high-frequency data. The Realized Volatility (RV) is used as a proxy of the unobservablelog-returns volatility. We model its dynamics by a simple but effective long-memory process:...

This paper studies the ability of a general class of habit-based asset pricing models to match the conditional moment restrictions implied by asset pricing theory.

The binomial model has been used to price a wide variety of equity and interest rateoptions for more than two decades. Originally developed by Cox, Ross, and Rubinsteinto clarify the basic pricing principle of its continuous-time counterpart with reduced mathematicalrequirements, the approach...

The wavelet transform is used to identify a biannual and an annual seasonalityin the Phelix Day Peak and to separate the long-term trend from its short-termmotion. The short-term/long-term model for commodity prices of Schwartz &Smith (2000) is applied but generalised to account for weekly...

Was seit 1973 als Durchbruch in der Optionspreistheorie gilt und im Jahre1997 mit dem Wirtschafts-Nobelpreis ausgezeichnet wurde, hat der sterreicherVinzenz Bronzin 65 Jahre frher – im Jahr 1908 – umfassender, einfacherverstndlich und notabene: auf deutsch in einer kurzen Monografie...

In 1908, Vinzenz Bronzin, a professor of mathematics at the Accademia di Commercio e Nauticain Trieste, published a booklet in German entitled Theorie der Prämiengeschäfte (Theory ofPremium Contracts) which is an old type of option contract. Almost like Bachelierÿs now famousdissertation...

The valuation of corporate debt is an important issue in asset pricing. While there has been an enormous amount of theoretical modeling of corporate bond prices, there has been relatively little empirical testing of these models 1.(...)

Over the last three decades, the capital asset pricing model has occupied a central and often controversial place in most corporate finance analysts tool chests.(...)