We consider the problem of option pricing under stochastic volatility models, focusing on the linear approximation of the two processes known as exponential Ornstein-Uhlenbeck and Stein-Stein. Indeed, we show they admit the same limit dynamics in the regime of low fluctuations of the volatility...

This paper investigates the effect of spillover (i.e., causality in variance) on the Johansen tests for cointegration by conducting a Monte Carlo experiment where 16 different data generating processes (DGP) are used and a number of factors that might affect the properties of the Johansen...

Flexibility in manufacturing systems allows the management to actively react to some unexpected market events, allowing them to take advantage from these events, and simultaneously reduce their losses. Flexible systems have greater costs than dedicated ones. Thus, a correct evaluation of this...

In this paper the author tests a variety of market VaR models for evaluation of exposure to exchange rate risk, in order to illuminate the advantages and disadvantages of their implementation in the B&H banking sector. As known, B&H monetary policy operates on the basis of currency board...

Purpose – The purpose of this paper is to provide a framework for the development of emergency logistics response models. The proposition of a conceptual framework is in itself not sufficient and simulation models are further needed in order to help emergency logistics decision makers in...

This paper develops a simple model of foreign debt portfolio management. The model suggests that, under mild conditions, the currency composition of a country's foreign debt portfolio is responsive to exchange rate movements. Empirical evidence is provided for a panel of 14 emerging economies in...