We use the extended CIR model to value interest rate caps and floors. The extension allows arbitrary initial term structure, in the spirit of Hull and White, a crucial feature since we show that the pricing of the considered contingent claims improves dramatically after taking into account the...

<Para ID="Par1">We introduce a unifying class of nonparametric spot volatility estimators based on delta sequences and conceived to include many of the existing estimators in the field as special cases. The full limit theory is first derived when unevenly sampled observations under infill asymptotics and fixed...</para>

We first propose a reduced-form model in <italic>discrete time</italic> for S&P 500 volatility showing that the forecasting performance can be significantly improved by introducing a persistent leverage effect with a long-range dependence similar to that of volatility itself. We also find a strongly significant...

Vast empirical evidence points to the existence of a negative correlation, named ”leverage effect”, between shocks to variance and shocks to returns. We provide a nonparametric theory of leverage estimation in the context of a continuous-time stochastic volatility model with jumps in...

We study the unconditional volatility distribution of the Italian futures market, measuring it via Fourier analysis. Our data set consists of all tick-by-tick transactions in 2000 and 2001, a period characterized by unusually high volatility levels in its final part, because of the dramatic...

Using a data set which includes all transactions among banks in the Italian money market, we study their trading strategies and the dependence among them. We use the Fourier method to compute the variance–covariance matrix of trading strategies. Our results indicate that well defined patterns...

By analyzing high frequency data of transactions on the Italian stock index futures, we show that the statistical properties of average volume depend on the size of transactions, defined as the number of contracts transacted in a single operation. In particular, we find that large transactions...