This study is motivated by the dearth of models that provide good out-of-sample fit for exchange rates. That is, current models of exchange rate behaviour are poor predictors of subsequent currency movements. An attempt is made to determine if the relationship between exchange rates and...

Tubular daylight-guidance systems are linear devices that channel daylight into the core of a building. The development, over the last decade, of materials with high specular reflectance has led to a large number of passive zenithal systems; the most commercially successful type of daylight...

Many previous studies provide pricing models of options on futures spreads. However, none of them fully reflect the economic reality that spreads can stay near full carry for long periods of time. We suggest a new option pricing model that assumes that convenience yield follows arithmetic...

This article presents a pure exchange economy that extends Rubinstein (1976) to show how the jump-diffusion option pricing model of Merton (1976) is altered when jumps are correlated with diffusive risks. A non-zero correlation between jumps and diffusive risks is necessary in order to resolve...