The behavior of the implied volatility surface for European options was analysed in detail by Zumbach and Fernandez for prices computed with a new option pricing scheme based on the construction of the risk-neutral measure for realistic processes with a finite time increment. The resulting...

A realistic ARCH process is set up so as to duplicate, for all practical purposes, the properties of stock time series from 1 day to 1 year. The process includes heteroskedasticity with long memory, leverage, fat-tail innovations, relative return, price granularity, and holidays. Its adequacy to...

Most financial and investment decisions are based on considerations of possible future changes and require forecasts on the evolution of the financial world. Time series and processes are the natural tools for describing the dynamic behavior of financial data, leading to the required forecasts....

Spanish Abstract: La industria Eléctrica en Gran Bretaña ha presentado grandes cambios desde 1881 cuando Joseph Chamberlain promovió una ley prohibiendo toda libre competencia y confinándola a unos pocos contratos permitiendo el privilegio de algunos individuos. Desde este entonces el Estado...