We compare forecasts of the realized volatility of the pound, mark and yen exchange rates
against the dollar, calculated from intraday rates, over horizons ranging from one day to three …

Risk-neutral and real-world densities are derived from option prices and risk assumptions,
and are compared with historical densities obtained from time series. Two parametric risk-…

This paper provides evidence of the impact of hedge accounting under International Financial
Reporting Standards (IFRS) on corporate risk management. Using a sample of large UK …

We examine contemporaneous jumps (cojumps) among individual stocks and a proxy for the
market portfolio. We show, through a Monte Carlo study, that using intraday jump tests and …

In this article we show how a project’s option value increases with incremental levels of
investment and disinvestment flexibility. We do this by presenting two NPV and seven option …

We compare density forecasts of the S&P 500 index from 1991 to 2004, obtained from option
prices and daily and 5-min index returns. Risk-neutral densities are given by using option …

We analyse the entry decisions of competing firms in a two-player stochastic real option
game, when rivals earn different but correlated uncertain profitabilities from operating. In the …

… Given the trade of contrarian sale of institutional investors, we observe the coefficient
estimates for MB IND and MB FORG as the component trades. For the large portfolio, only …

This paper models Continuous Workout Mortgages (CWMs) in an economic environment with
refinancings and prepayments. CWMs are home loans whose balance and payments are …

We focus on factors that drive the dynamics of commodity prices. We highlight the capital
budgeting implications of three highly‐cited, nested, multi‐factor models for commodity prices …