Intraday volatility in interest-rate and foreign-exchange markets: ARCH, announcement and seasonality effects

Article Abstract:

A major causes of volatility in the foreign exchange and interest rate futures markets is the release of statistical reports such as the Producer Price Index. Lesser causes include the timing of such reports and seasonal patterns, although unschedule announcements will have a greater but temporary impact on the markets.

Statistical Data Included, Statistics, Macroeconomics, Foreign exchange market, Seasonal variations (Economics), Interest rate futures

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Valuing credit derivatives using gaussian quadrature: a stochastic volatility framework

Article Abstract:

Semi-closed-form solutions to value derivatives on mean reverting assets are proposed in this article using the Gauss-Laguerre quadrature rule. This rule proves very efficient and accurate when applied to the general models proposed.

Evaluation, Financial instruments

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The Introduction of Derivatives on the Dow Jones Industrial Average and their Impact on the Volatility of Component Stocks

Article Abstract:

This study examines the impact of trading in the Dow Jones Industrial Average index futures on the volatility of component stocks.

Research, Stock-exchange, Stock exchanges

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