The present paper studies a fixed exchange rate regime subjected to a speculative attack by spot speculators. In light of recent developments in the ERM it has become apparent that the original concept of speculative attack by Krugman (1979) does not suffice because it only allows for one time...

Using a calibrated OLG model with several sources of uncertainty we find that the impact of ageing and of reform of social security upon the demand for housing and the level of owner occupation is substantial. The overall structure of household asset holdings – in particular the split between...

This Paper uses stochastic simulations on calibrated models to assess the steady state impact of different pension arrangements in an environment where financial markets are less than perfect. Surprisingly little is known about the optimal split between funded and unfunded systems when there are...

In this paper the general discrete time mean-variance hedging problem is solved by dynamic programming. Thanks to its simple recursive structure the solution is well suited to computer implementation. On the theoretical side, it is shown how the variance-optimal measure arises in the dynamic...

We suggest an improved FFT pricing algorithm for discretely sampled Asian options with general independently distributed returns in the underlying. Our work complements the studies of Carverhill and Clewlow [Risk, 1990, 3(4), 25-29], Benhamou [J. Comput. Finance, 2002, 6(1), 49-68], and Fusai...