The first ever explicit formulation of the concept of an option's probability density functions has been introduced in our publications “Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options - True Value-at-Risk...

• The first ever explicit formulation of the concept of an option's probability density functions has been introduced in our publications "Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options -- True...

•The first ever explicit formulation of the concept of an option's probability density functions has been introduced in our publication “Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options - True...

This paper employs linear and nonlinear unit-root tests to investigate: a) the price dynamics of the home price indices included in the S&P/Case-Shiller Composite10 index, and b) the validity of the “ripple effect,” following the approach outlined in Meen (1999). In general, the findings...

In this paper we model the dynamic multivariate density of discrete bid and ask quote changes and their associated depths. We account for the contempo- raneous relationship between these trading marks by exploiting the concept of copula functions. Thereby we show how to model truncations of the...

In this paper we present simulations of economic performance of the Polish economy based on a quarterly econometric model. The model consists of 22 stochastic equations, which link the financial market with the real economy. The purpose of the research is to present effects of changes to...

The paper derives and tests maximum likelihood parameter estimators for symmetrically correlated Weiner processes observed at discrete intervals. Such processes are arise when pricing and determining Value-at-Risk for portfolio derivatives. Cases of driftless and mean-reverting state variables...

In this paper we develop a structural equation model with latent variables in an ordinal setting which allows us to test broker-dealer predictive ability of financial market movements. We use a multivariate logit model in a latent factor framework, develop a tractable estimator based on a...

This paper explores the dynamic linkages that portray different facets of the joint probability distribution of stock market returns in NAFTA (i.e., Canada, Mexico, and the US). Our examination of interactions of the NAFTA stock markets considers three issues. First, we examine the long-run...

This paper uses the ordered logit regression combining method to form consensus forecasts from different individual bond rating forecasts, to predict bond ratings in the transportation and industrial sectors form Moody's bond rating service.