Suppose a two-dimensional dynamical system has a stable attractor that is surrounded by an unstable limit cycle. If the system is additively perturbed by white noise, the rate of escape through the limit cycle will fall off exponentially as the noise strength. The presence of this slowly...

Astonishingly little attention has been paid in academic literature to the 2008-2009 foreign exchange (FX) options debacle in Poland, the scale of which was unheard of. It affected not only an individual organization but a significant part of economy, being an example of a situation in which...

Astonishingly little attention has been paid in academic literature to the 2008-2009 foreign exchange (FX) options debacle in Poland, the scale of which was unheard of. It affected not only an individual organization but a significant part of economy, being an example of a situation in which...

Variance risk premium is arguably one of the most important and robust risk premia documented in the academic finance. The first chapter of this thesis deals with variance risk on the FX market: therein, I recover risk-neutralized covariance matrices of currency returns and combine them with ex...