This paper explores the applicability of static and dynamic models to capture the stylized facts of exchange-rate dynamics. The static models (mixture of distributions, compound Poisson process, generalized Student distribution) are compatible with leptokurtosis and can be characterized as...

This paper evaluates the profitability of applying four different volatility forecasting models to the trading of straddles on the German stock market index DAX. Special care has been taken to use simultaneous intra-day prices and realistic transaction costs. Furthermore, straddle positions were...