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EXCHANGE RATE PASS-THROUGH INTO DOMESTIC INFLATION IN ASIAN ECONOMIES
ASIAN ECONOMIES EXCHANGE RATE PASS-THROUGH
2008/6/5
This paper explores the patterns of exchange rate pass-through (EPT) into domestic inflation in the East Asia economies. In our empirical analysis framework, we emphasized the role of inflation enviro...
A path integral approach to closed-form option pricing formulas with applications to stochastic volatility and interest rate models
integral option pricing formulas applications stochastic volatility interest rate models
2008/6/5
We present a path integral method to derive closed-form solutions for option prices in a stochastic volatility model. The method is explained in detail for the pricing of a plain vanilla option. The f...
Transition Densities for Interest Rate and Other Nonlinear Diffusions
Transition Densities Interest Rate Other Nonlinear Diffusions
1999/8/13
Transition Densities for Interest Rate and Other Nonlinear Diffusions.
Nonparametric Pricing of Interest Rate Derivative Securities
Nonparametric Pricing Interest Rate Derivative Securities
1996/5/13
Nonparametric Pricing of Interest Rate Derivative Securities.
Testing Continuous-Time Models of the Spot Interest Rate
Testing Continuous-Time Models Spot Interest Rate
1996/3/13
Testing Continuous-Time Models of the Spot Interest Rate.
Bank Rate Policy Under the Interwar Gold Standard: A Dynamic Probit Model
Bank Rate Policy the Interwar Gold Standard Dynamic Probit Model
1985/9/18
The classical gold standard occupies an almost mystical position in the literature of international finance. In popular accounts the gold standard is portrayed as a remarkably durable ...