This publication contains the proceedings of the World Forum on Key Indicators held in Palermo in November 2004. In it, statisticians from governmental statistical offices, international organisations, and academia explain why indicator systems are useful and how statistics can be used, how to...

The OECD Compilation Manual for Index of Services Production contains guidelines and methodologies to measure short-term production activities of the services sector by national agencies and international organisations. The Manual fills a gap in existing international statistical standards for...

This publication provides a detailed description of the sources and methods used by OECD member countries in calculating the monetary aggregates, credit and other measures of domestic finance presented in Main Economic Indicators.

In the framework of Black-Scholes-Merton option pricing models, by employing exotic options instead of plain options or warrants, this paper presents an equivalent decomposition method for usual Callable Convertible Bonds (CCB). Furthermore, the analytic valuation formulae for CCB are worked out...

It is known that actual option prices deviate from the Black-Scholes formula using the same volatility for different strikes. For the S&P 500 index options, we find that these deviations follow a stable pattern and are described by a simple function of at-the-money-forward total volatility. This...

An important purpose of derivatives modelling is to provide practitioners with actionable measures of risk. The Black and Scholes volatility remains a favourite on trading floors in spite of well-known biases. One popular extension is to make volatility a function of time and the underlying...

This article intends to evidence the flexibility effect in the investment decision. This flexibility is known by the real options term, these options possess value, which will increase the value of an investment that possesses them. The traditional investments evaluation methods are not enough...

In derivatives modelling, it has often been necessary to make assumptions about the volatility of the underlying variable over the life of the contract. This can involve specifying an exact trajectory, as in the Black and Scholes (1973), Merton (1973) or Black (1976) models; one that depends on...