November 10, 2015
Posts
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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. -
October 31, 2015
Research Update - October 2015
This monthly newsletter features the latest research publications by Bank of Canada economists including external publications and working papers published on the Bank of Canada’s website. -
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October 29, 2015
Revision to the Terms of Participation in Auctions for the Government Securities Distributors
The Department of Finance Canada and the Bank of Canada released today the revised Terms of Participation in Auctions for Government Securities Distributors (the Terms) following the introduction of the new Market Trade Reporting System (MTRS 2.0) by the Investment Industry Regulatory Organization of Canada (IIROC). -