I estimate a forward-looking, dynamic, discrete-choice monetary policy reaction function for the US economy, that accounts for the fact that there are substantial restrictions in the period-to-period changes of the Fed's policy instrument. I find a substantial contrast between the periods before...

This paper examines the theoretically obtained prices with values based on temperature data in the Isle of Man and the UK. We have also seen that the simulated temperature trajectories do not appear to include entire seasons where the temperature remains cooler than normal. Anecdotally we have...

This paper presents a new stochastic volatility model which allows for persistent shifts in volatility of stock market returns, referred to as structural breaks. These shifts are endogenously driven by large return shocks (innovations), reflecting large pieces of market news. These shocks are...

Can-do options are bespoke option structures listed on Safex and Yield-X. The JSE is the first exchange in the world to list, trade and clear exotic options. The first exotic was listed on 8 January 2007 with the onset of the financial crisis that played out during 2008. The option was on the...

A model of building and using synthetic straddles has been developed; it enables an investor to significantly reduce its individual equity risk related to its own basic assets, i.e. shares. The Black-Scholes model, which is regarded as a classical model, cannot be used for this purpose for the...

A simulation investigation of the effect of default insurance on the optimal equity allocation and deficit spread period of a model defined benefit pension scheme is performed, using the old and new frameworks of the Pension Protection Fund in the U.K. as a starting point. The old default...

Simulations of a model pension scheme are run with stochastic economic and demographic factors, with an aim to investigate the impact of these factors on movements in funding ratio and average contribution rates. These impacts are analyzed by running regressions of movements in funding ratio and...

Filtering methods are powerful tools to estimate the hidden state of a state-space model from observations available in real time. However, they are known to be highly sensitive to the presence of small misspecifications of the underlying model and to outliers in the observation process. In this...

The purpose of this work is to study the statistical properties of the MDD for stochastic processes characterized by the stylized facts of real financial time series. The numerical results obtained using a Monte Carlo code are firstly validated against the analytical predictions available within...

Identifying and dating explosive bubbles when there is periodically collapsing behavior over time has been a major concern in the economics literature and is of great importance for practitioners. The complexity of the nonlinear structure inherent in multiple bubble phenomena within the same...