's decision towards default. This mechanism induces contagion in default probabilities, leverage, and financial volatility across …

volatility: volatility increases when the stock price falls. A standard explanation ties the phenomenon to the effect a change in … producing an increase in stock volatility.(...) …

cor-relations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang … transform, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model … approach, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, estimating …

the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …

often ignores the volatility smile, which is quite pronounced in the interest rate options market. This note solves the … thereby taking into account the volatility smile. This idea is known among practitioners for pricing CMS caps. We approach the …

minority bank (MB) policies. Our theory apparatus synthesizes Vasicek's bond pricing model, and KMV Moody loan portfolio model …, MBs are better served by tactical portfolio allocation in an expanded investment opportunity set. We apply the theory to …

information theory, we use theorems of relative entropy optimisation to build a framework which allows data-specific calibration … theory and implements a framework to calibrate disappointment risk premia to market prices. Based on a recent new … aversion parameter, an implied recovery rate and an implied recovery volatility. Performance of the algorithm is verified …