As innovation is not directly measurable, the author deploys the proxy of patents to analyze the R&D activity of the German companies with the biggest R&D spending in 2015. Through the method of partial-counting of patents filed with the ‘European Patent Office' (EPO) and under the ‘Patent...

We compare short rate diffusion models with respect to their implications for term structure movements, the plausibility of which serves us as a criterion for evaluating the models. Analytically for Gauss-Markov models and numerically for a broader collection of models prevalent in the...

This article analyzes a broad range of one* and multifactor models of the term structure of interest rates. We assess the influence of the choice of factor probability distributions on the term structure shapes the models generate, and use spread options as an aggregate measure of the relative...

The present paper analyses a broad range of one- and multifactor models of the term structure of interest rates. We assess the influence of the number of factors, mean reversion, and the factor probability distributions on the term structure shapes the models generate, and use spread options as...

The paper deals with the valuation and hedging of non path- dependent European options on one or several underlyings in a model of an international economy which allows for both interest rate and exchange rate risk. The contingent claims may pay off in arbitrary currencies. Using martingale...