Italy: uncertain times

Article Abstract:

Political uncertainty is likely to affect the performance of assets denominated in the Italian lira, according to NatWest Markets. The 1996 budget has yet to be approved by the Italian parliament, as have planned pension reforms. An election may be held in Oct or Nov 1995, and this could delay planned privatizations. Inflation could reach 6% by Sep 1995, with a 0.5% rise in interest rates. Problems with the passage of the budget or pension reform would affect markets.

Italy, Economic aspects, Financial markets

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Warrant pricing: jump-diffusion vs black-scholes

Article Abstract:

A study has compared the efficiency of F.Black and M. Scholes option pricing model with Markov-diffusion processes. It aimed to establish which process most closely reflected market prices. Evidence suggests greater efficiency of the Black-Scholes model although the Markov-diffusion model displayed less bias.

Author: Kremer, Joseph W., Roenfeldt, Rodney L
Finance, Options (Finance), Stock warrants

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Normal mixture diffusion with uncertain volatility: modeling short-and long-term smile effects

Article Abstract:

An experimental model for normal mixture diffusion with local volatility is presented for studying the short-and long-term smile effects.

Author: Alexander, Carol
Analysis, Diffusion processes, Uncertainty, Global economy, Volatility

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