argue that the increase in trading volume and return volatility may be attributed to index arbitrage transactions as … volatility of the underlying component stocks. Traditional finance theory asserts that futures and "cash" markets are connected … by arbitrage mechanism that brings both markets to equilibrium. When arbitrage opportunities arise, arbitrageurs buy …

The objective of this work is to determine the presence of volatility in the spot and futures exchange rates, detecting …, thus, the presence of risk. Identified the volatility, it is looked for shaping it through the construction of models … volatility of the exchange rates. Gotten the estimates, it is verified existence of convergence of these rates in the date of the …

performs ad hoc adjustments based on the observed implied volatility. We also compare the hedging effectiveness of the two … deteriorates moderately, indicating the likely existence of additional random factors such as stochastic volatility. …

of stochastic volatility for SP500 index returns when stochastic volatility is takeninto account with infinite activity … regard to jumps specifications.This finding is important because recent studies have shown that stochastic volatility in … compound Poisson jump-diffusion models. The second essay also shows that stochastic volatility with jumps (SVJ) and extended …

We present a derivative pricing and estimation methodology for a class of stochastic volatility models that exploits … the observed 'bursty' or persistent nature of stock price volatility. Empirical analysis of high-frequency S&P 500 index … data confirms that volatility reverts slowly to its mean in comparison to the tick-by- tick fluctuations of the index value …

variety of empirical evidences to support redundancy of stochastic volatility for SP500 index returns when stochastic … volatility is taken into account with infinite activity pure Lévy jumps models and the importance of stochastic volatility to … recent studies have shown that stochastic volatility in a continuous-time framework provides an excellent fit for financial …

portfolio restrictions, there is a need to differentiate individual arbitrage opportunities from those at the aggregate level …), this difference in the notion of arbitrage at the individual level and the aggregate level is characterized. Extending the … 2-date result of Hens et al., we show that generically there will be some arbitrage opportunities that remain …

with restricted participation. We then provide a characterization of reduced financial structures in terms of arbitrage …