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
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. Content Type(s): Press, Market notices Source(s): Canadian Fixed-Income Forum
November 3, 2015 Canadian Fixed-Income Forum CFIF is a group set up by the Bank of Canada to facilitate the sharing of information between market participants and the Bank on the Canadian fixed-income market.
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. Content Type(s): Staff research, Research newsletters
October 30, 2015 Weekly Financial Statistics - 30 October 2015 Content Type(s): Publications, Historical: Weekly Financial Statistics
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). Content Type(s): Press, Market notices
October 29, 2015 Banking and Financial Statistics - October 2015 Content Type(s): Publications, Historical: Banking and Financial Statistics
Nowcasting BRIC+M in Real Time Staff Working Paper 2015-38 Tatjana Dahlhaus, Justin-Damien Guénette, Garima Vasishtha Emerging-market economies have become increasingly important in driving global GDP growth over the past 10 to 15 years. This has made timely and accurate assessment of current and future economic activity in emerging markets important for policy-makers not only in these countries but also in advanced economies. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C3, C33, C5, C53, E, E3, E37