The aim of this paper is to investigate the presence of a causality relationship between the
stock market and the foreign exchange market in the Czech Republic, Hungary, Poland, and …

We look at the dependence of the magnitude of rate moves on the level of rates, and we find
a universal relationship that holds across currencies and over a very extended period of time …

This paper tests for asymmetric mean reversion in European short-term interest rates using a
combination of the interest rate models introduced by Longstaff and Schwartz (Longstaff, FA …

Purpose–This paper aims to propose a general, yet simple model to estimate interest rate
volatility. Design/methodology/approach–The methodology is based on an extended …

The term structure of interest rates is an extremely important element in Finance. It is one of
the most important indicators for pricing contingent claims, determining the cost of capital …

The dependence of interest rate volatility on the level of rates has both general
macroeconomic significance and direct consequences on computing market risk metrics …

This dissertation consists of five chapters. The first chapter is the introduction to this
dissertation. It covers the importance of the term structure on financial markets as the price …

The purpose of this research is to analyze the relationship of variance in bond price
changes, VP, to the level of interest rates (yields). We start by analyzing first and second …

We introduce a European (exotic) call option on a pension annuity. The option gives its
owner the right to buy, for a specified lump sum, an ordinary annuity (pension) that starts at a …

Kajian ini bertujuan untuk melihat kesan kemeruapan kadar bunga jangka pendek ke atas
hasil sekuriti kerajaan Malaysia dan kekuatan hubungan tersebut bagi sekuriti kerajaan …