Posts
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November 12, 2015
Staff analytical notes
Staff analytical notes are short articles that focus on topical issues relevant to the current economic and financial context. -
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November 10, 2015
Results of the 28-day 10 November 2015 Term Repo Operation
Results of today's term repo operation. -
November 10, 2015
Bank of Canada Announces the Minimum Bid Rate for Today's Term Repo Operation
Bank of Canada Announces the Minimum Bid Rate for today's Term Repo Operation. -
November 9, 2015
Bank of Canada Announces Details of its Term Repo Operation
The Bank of Canada announced today that it will conduct a term repo operation. -
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Option Valuation with Observable Volatility and Jump Dynamics
Under very general conditions, the total quadratic variation of a jump-diffusion process can be decomposed into diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the underlying asset price exhibits volatility and jump intensity dynamics. -
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November 4, 2015
Bank of Canada Announces Establishment of Canadian Fixed-Income Forum (CFIF)
In light of changes to market functioning since the financial crisis, the Bank of Canada has established a new senior level industry-wide forum to discuss developments in fixed-income market structure and functioning, market practices, and related policy issues.