Posts

• November 12, 2015

  Staff analytical notes

  Staff analytical notes are short articles that focus on topical issues relevant to the current economic and financial context.
• November 12, 2015

  Research

  High-quality, innovative research underpins everything we do.
• November 10, 2015

  Results of the 28-day 10 November 2015 Term Repo Operation

  Results of today's term repo operation.

  Content Type(s): Press, Market notices
• November 10, 2015

  Bank of Canada Announces the Minimum Bid Rate for Today's Term Repo Operation

  Bank of Canada Announces the Minimum Bid Rate for today's Term Repo Operation.

  Content Type(s): Press, Market notices
• November 9, 2015

  Bank of Canada Announces Details of its Term Repo Operation

  The Bank of Canada announced today that it will conduct a term repo operation.

  Content Type(s): Press, Market notices
• November 6, 2015

  Weekly Financial Statistics - 6 November 2015

  Content Type(s): Publications, Historical: Weekly Financial Statistics

• Option Valuation with Observable Volatility and Jump Dynamics

  Staff Working Paper 2015-39 Peter Christoffersen, Bruno Feunou, Yoontae Jeon

  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.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing JEL Code(s): G, G1, G12
• November 5, 2015

  5th Conference on Fixed Income Markets

  Conference held on 5 and 6 November 2015

  Content Type(s): Conferences and workshops
• November 4, 2015

  Bank of Canada Announces Establishment of Canadian Fixed-Income Forum (CFIF)

  In light of changes to market functioning since the financial crisis, the Bank of Canada has established a new senior level industry-wide forum to discuss developments in fixed-income market structure and functioning, market practices, and related policy issues.

  Content Type(s): Press, Market notices Source(s): Canadian Fixed-Income Forum
• November 3, 2015

  Canadian Fixed-Income Forum

  CFIF is a group set up by the Bank of Canada to facilitate the sharing of information between market participants and the Bank on the Canadian fixed-income market.