… implied volatility smile method developed by Panigirtzoglou and presented in Bliss and
Panigirtzoglou (2002). The essence of the Panigirtzoglou and related methods is to smooth …

… Φ ∑ i=1 N c (C i − C i ( Φ )) 2 η i 2 +∑ i=N c +1 N c +N p (P i − P i ( Φ )) 2 η i 2 , where Φ is
the vector of parameters that define the fitted prices, including the PDF, and N c and N p are …

The paper considers two small analytical models, one Old‐Keynesian, the other New‐Keynesian,
possessing equilibria where nominal interest rates at all maturities can be stuck at …

We address the empirical implementation of the static asset allocation problem by developing
a forward-looking approach that uses information from market option prices. To this end, …

The Monetary Policy Committee is provided with information from options markets to quantify
market uncertainty about the future course of financial asset prices. For short-term interest …

… This pricing formula makes sense, for finite N, as long as > —1, for all t: the price of money
tomorrow in terms of money today, D,N, orthe N-period nominal discount factor, cannot be …

… for the next n days; we store the (2n+1) simulated probability. The simulation terminates at
the (K−n) observation. At the end, we have stored (K−n)/n simulated extreme probabilities. We …

… To deal with this problem, we constructed constant-horizon probability density functions
as described in Clews, Panigirtzoglou and Proudman (2000). The technique involves the …

This paper investigates the information contained in the yields of corporate debt securities
using a structural credit risk model. As previous studies have found, credit risk is not the only …

The rise in corporate saving has been truly global, spanning the three major regions North
America, Europe, and Japan and both financial and nonfinancial corporates Relative to the …