G12 - Asset Pricing; Trading volume; Bond Interest Rates - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T06:08:43+00:00Tractable Term Structure Models
https://www.bankofcanada.ca/2015/12/staff-working-paper-2015-46/
We introduce a new framework that facilitates term structure modeling with both positive interest rates and flexible time-series dynamics but that is also tractable, meaning amenable to quick and robust estimation.2015-12-14T09:07:38+00:00enTractable Term Structure Models2015-12-14Asset pricingInterest ratesInternational financial marketsInternational topicsMonetary policy and uncertaintyMonetary policy transmissionStaff Working Paper 2015-46https://www.bankofcanada.ca/wp-content/uploads/2015/12/wp2015-46.pdfTractable Term Structure ModelsBruno FeunouJean-Sébastien FontaineAnh LeChristian LundbladDecember 2015GG1G12Option Valuation with Observable Volatility and Jump Dynamics
https://www.bankofcanada.ca/2015/11/working-paper-2015-39/
Under very general conditions, the total quadratic variation of a jump-diffusion process can be decomposed into diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the underlying asset price exhibits volatility and jump intensity dynamics.2015-11-06T12:17:44+00:00enOption Valuation with Observable Volatility and Jump Dynamics2015-11-06Asset pricingWorking Paper 2015-39https://www.bankofcanada.ca/wp-content/uploads/2015/11/wp2015-39.pdfOption Valuation with Observable Volatility and Jump DynamicsPeter ChristoffersenBruno FeunouYoontae JeonNovember 2015GG1G12Downside Variance Risk Premium
https://www.bankofcanada.ca/2015/10/working-paper-2015-36/
We decompose the variance risk premium into upside and downside variance risk premia. These components reflect market compensation for changes in good and bad uncertainties. Their difference is a measure of the skewness risk premium (SRP), which captures asymmetric views on favorable versus undesirable risks.2015-10-22T10:52:04+00:00enDownside Variance Risk Premium2015-10-22Asset pricingWorking Paper 2015-36https://www.bankofcanada.ca/wp-content/uploads/2015/10/wp2015-36.pdfDownside Variance Risk PremiumBruno FeunouMohammad R. Jahan-ParvarCédric OkouOctober 2015GG1G12Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates
https://www.bankofcanada.ca/2015/06/working-paper-2015-17/
The author proposes a test for the parametric specification of each component in the diffusion matrix of a d-dimensional diffusion process. Overall, d (d-1)/2 test statistics are constructed for the off-diagonal components, while d test statistics are constructed for the main diagonal components.2015-06-05T10:44:33+00:00enTesting for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates2015-06-05Asset pricingEconometric and statistical methodsInterest ratesWorking Paper 2015-17https://www.bankofcanada.ca/wp-content/uploads/2015/06/wp2015-17.pdfTesting for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest RatesFuchun LiJune 2015CC1C12C14EE1E17E4E43GG1G12G2G20Fourier Inversion Formulas for Multiple-Asset Option Pricing
https://www.bankofcanada.ca/2015/03/working-paper-2015-11/
Plain vanilla options have a single underlying asset and a single condition on the payoff at the expiration date. For this class of options, a well-known result of Duffie, Pan and Singleton (2000) shows how to invert the characteristic function to obtain a closed-form formula for their prices.2015-03-10T07:54:04+00:00enFourier Inversion Formulas for Multiple-Asset Option Pricing2015-03-10Asset pricingWorking Paper 2015-11https://www.bankofcanada.ca/wp-content/uploads/2015/03/wp2015-11.pdfFourier Inversion Formulas for Multiple-Asset Option PricingBruno FeunouErnest TafolongMarch 2015GG1G12