We document that implied volatility (IV) curves extracted from short-term equity options frequently become concave prior to the earnings announcement day (EAD) reflecting a bimodal risk-neutral distribution for the underlying stock price. Firms with concave IV curves exhibit significantly higher...

In this paper, we present a multi-factor continuous-time autoregressive moving-average (CARMA) model for the short and forward interest rates. This model is able to present an adequate statistical description of the short and forward rate dynamics. We show that this is a tractable term structure...

In this paper, we propose a dynamic model of the term structure of forward exchange rates and discuss the effects of jumps in interest rates on the term structure of forward exchange rates. First, we develop a dynamic three-factor model of forward exchange rates in continuous time that...