In this paper, we consider the Heston-CIR model with Lévy process for pricing in foreign exchange (FX) market by providing a new formula that better fits distribution of prices. To do that, first, study existence and uniqueness solution to model. Second, examine strong convergence stochastic domestic short interest rates, rates volatility. Then, apply Least Squares Monte Carlo (LSMC) method Ame...

The author considers SABR (stochastic-αβρ) model which is a two factor stochastic volatility model and give an asymptotic expansion formula of implied volatilities for this model. His approach is based on infinite dimensional analysis on the Malliavin calculus and large deviation. Furthermore, he applies the approach to a foreign exchange model where interest rates and the FX volatilities are s...

Terrorism, political system instability and currency rate fluctuations are the three most evident issues of 21st century. In this study, comparative analysis is performed to check the impact of all these issues on PSX Volatility. EGARCH (1,1) approach is used on four different kinds of data collected from 1st January 2000 to 31st December 2015. Terrorist events, FX return fluctuations with rest...

A time series analysis of the Shanghai and New York Stock Exchange composite price indices is provided to compare the weekly rates of return and volatilities of these two markets and to study their co-movement in 1992-2002. The rate of return and volatility of the Shanghai market were higher. The rates of returns in the two markets were approximately serially uncorrelated and mutually uncorrela...

according to stock price excessive volatility in tehran stock exchange, the price limit mechanism is utilized in order to making the price fluctuation narrow and based on the specific periods, the price limit has encountered some variations which price limit has been determined by try and error within these periods and in a short stage of time many modifications existed through the applications...

This paper presents a model for asset returns incorporating both stochastic volatility and jump e ects. The return process is driven by two types of randomness: small random shocks and large jumps. The stochastic volatility process is a ected by both types of randomness in returns. Speci cally, in the absence of large jumps, volatility is driven by the small random shocks in returns through a G...

This paper studies co-evolution of di erent decision rules in an arti cial foreign exchange market. The behavior of the exchange rate depends on the type of decision rules that agents use. Evolution of the moving average and least squares forecasting techniques results in a speculative attack on one of the currencies and that currency's eventual collapse. Addition of the rules that evolve the p...