D8 - Information, Knowledge, and Uncertainty

• Efficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets

  Staff Working Paper 2006-43 Alexander Melnikov, Yuliya Romanyuk

  The authors use the efficient hedging methodology for optimal pricing and hedging of equity-linked life insurance contracts whose payoff depends on the performance of several risky assets.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): D, D8, D81, G, G1, G10, G12

• Guarding Against Large Policy Errors under Model Uncertainty

  Staff Working Paper 2006-13 Gino Cateau

  How can policy-makers avoid large policy errors when they are uncertain about the true model of the economy?

  Content Type(s): Staff research, Staff working papers Topic(s): Monetary policy and uncertainty JEL Code(s): D, D8, D81, E, E5, E58

• A Structural Error-Correction Model of Best Prices and Depths in the Foreign Exchange Limit Order Market

  Staff Working Paper 2006-8 Ingrid Lo, Stephen Sapp

  Traders using the electronic limit order book in the foreign exchange market can watch the posted price and depth of the best quotes change over the day.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial markets JEL Code(s): C, C3, D, D8, F, F3, F31