In this paper we propose a smooth transition tree model for both the conditionalmean and variance of the short-term interest rate process. The estimation of suchmodels is addressed and the asymptotic properties of the quasi-maximum likelihoodestimator are derived. Model specification is also...

In this paper we propose analytical approximations for computing implied volatilities when time-to-maturity t is small. The analysis is performed in the framework of a two-factor model with local and stochastic volatility. We describe an algorithm for building the power series approximation of...

We present two new notions of evolutionary stability, the trulyevolutionarily stable state (TESS) and the generalized evolutionarilystable equilibrium (GESE). The GESE generalizes the evolutionar-ily stable equilibrium (ESE) of Joosten [1996]. An ESE attracts allnearby trajectories...