This paper investigates the determinants of transaction price changes during BUND-future trading at Deutsche Terminbörse (DTB) and London International Financial Futures Exchange (LIFFE). The analysis uses the ordered probit model, which is an econometric tool that is comparatively new to the...

Daily average temperature variations are modelled with a mean-reverting Ornstein-Uhlenbeck process driven by a generalized hyperbolic Levy process and having seasonal mean and volatility. It is empirically demonstrated that the proposed dynamics fits Norwegian temperature data quite...

The prices of the option and futures of a stock both reflect the market's expectation of futures changes of the stock's price. Their prices normally align with each other within a limited window. When they do not, arbitrage opportunities arise: an investor who spots the misalignment will be able...