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.
November 10, 2015 Results of the 28-day 10 November 2015 Term Repo Operation Results of today's term repo operation. Content Type(s): Press, Market notices
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. Content Type(s): Press, Market notices
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. Content Type(s): Press, Market notices
November 6, 2015 Weekly Financial Statistics - 6 November 2015 Content Type(s): Publications, Historical: Weekly Financial Statistics
Option Valuation with Observable Volatility and Jump Dynamics Staff Working Paper 2015-39 Peter Christoffersen, Bruno Feunou, Yoontae Jeon 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. Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing JEL Code(s): G, G1, G12
November 5, 2015 5th Conference on Fixed Income Markets Conference held on 5 and 6 November 2015 Content Type(s): Conferences and workshops