Recent theoretical research in business cycle modelling has aimed at putting forward a unified framework for studying both short-term cycles and long-term growth. Empirical research based on structural vector-autoregression has established that the same factors which drive long-run growth also...

This paper discusses the pitfalls in the pricing of barrier options a pproximations of the underlying continuous processes via discrete lattice models. These problems are studied first in a Black-Scholes model. Improvements result from a trinomial model and a further modified model where price...

Viewing binomial models as a discrete approximation of the respective continuous models, the interest focuses on the notions of convergence and especially "fast" convergence of prices. Though many authors were proposing new models, none of them could successfully explain better performance for...

This paper attempts to analyze the impact of German unification on the position that Germany holds within the European Monetary System (EMS), i.\ e.\ on the asymmetry in the EMS. Applying kernel estimation and bootstrap methods we can corroborate the result of previous studies that Germany's...

We deal with the valuration and hedging of non path-dependent European options on one or several underlyings in a model of an international economy which allows for both interest rate and exchange rate risk. Using martingale theory we provide a unified and easily applicable approach to pricing...

In this study we consider a linear model with forecast feedback in which boundedly rational agents are learning the parameter values of the rational expectations equilibrium by the OLS learning procedure. We show strong consistency of the OLS estimates under much weaker assumptions on the...

The finding of clustered volatility and ARCH effects is ubiquitous in financial data. This paper presents a possible explanation of this phenomenon within a multi-agent framework of speculative activity. In the model, both chartist and fundamentalist strategies are considered with agents...

The paper aims at understanding why and how central banks have intervened in foreign exchange markets, and whether intervention was (i) coordinated, (ii) sterilized, and (iii) effective. The experience in the G-3 context is compared to the past EMS experience. In addition to foreign exchange...