Black (1976) model assumes a lognormal distribution for futures prices, and has been shown to misprice deep in-the-money and deep out-of-the-money futures options. In this paper, the jump-diffusion stochastic interest rates model developed by Doffou and Hilliard (1999a) is fitted to currency...

This paper analyzes the academic and regulatory studies on insider trading available in the finance literature. First, a review of the laws regulating insider trading is provided. The paper then takes a look at the parties involved in insider trading, and analyzes the theories of insider trading...

This paper uses a ten-year data set to examine the ability of the jump-diffusion models to explain systematic deviations in implicit distributions from the benchmark assumption of lognormality. Scott's (1997) calibrations found that stochastic interest rates should not affect short-maturity...

We investigate the effects of stochastic interest rates and jumps in the spot exchange rate on the pricing of currency futures, forwards and futures options. The proposed model extends Bates' model by allowing both the domestic and foreign interest rates to move around randomly, in a generalized...

Enormous progress has been made by academics and finance practitioners alike in modeling the dynamics of the term structure of interest rates in the past 35 years. This paper extends Yan (2001). The dynamics of the term structure of interest rates are critical in assessing prices and hedging...

Black (1976) model assumes a lognormal distribution for futures prices, and has been shown to misprice deep in-the-money and deep out-of-the-money futures options. in this paper, the jump-diffusion stochastic interest rates model developed by Doffou and Hilliard (1999a) is fitted to currency...

This chapter investigates empirically the existence of periodically collapsing bubbles in the Asian emerging stock markets using the Enders–Siklos (2001) momentum threshold autoregressive model. As explained in Bohl (2003), this non-linear time series technique can be used to analyze bubble...