Results 1 to 10 of about 196,831 (306)
Option Pricing, Zero Lower Bound, and COVID-19
Risks, 2021 This paper provides a quantitative assessment of equity options priced at the Zero Lower Bound, i.e., when interest rates are set essentially to zero. We obtain closed form formulas for American options when the Zero Lower Bound policy holds.
Giacomo Morelli, Lea Petrella
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A Short Proof for a Lower Bound on the Zero Forcing Number
Discussiones Mathematicae Graph Theory, 2020 We provide a short proof of a conjecture of Davila and Kenter concerning a lower bound on the zero forcing number Z(G) of a graph G. More specifically, we show that Z(G) ≥ (g − 2)(δ − 2) + 2 for every graph G of girth g at least 3 and minimum degree δ at
Fürst Maximilian, Rautenbach Dieter
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How does the Vietnamese stock market react when the Fed gives an announcement in time at the zero lower bound? [PDF]
HeliyonThis study analyzes the impact of US’s UMP announcements on the Vietnamese stock market during the 2008 GFC and COVID-19 pandemic. Utilizing an event study methodology, it examines both market-wide and sectors-specific stock reactions.
Nam Ngo +3 more
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Identification at the Zero Lower Bound [PDF]
Econometrica, 2021 I show that the zero lower bound (ZLB) on interest rates can be used to identify the causal effects of monetary policy. Identification depends on the extent to which the ZLB limits the efficacy of monetary policy. I propose a simple way to test the efficacy of unconventional policies, modeled via a “shadow rate.” I apply this method to U.S.
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Exchange rate movements in the presence of the zero lower bound [PDF]
Banks and Bank Systems, 2017 Exchange rates are expected to adjust according to the stance of monetary policies, which are in normal times differences in interest rates set by the central banks.
Jens Klose
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A Lower Bound for the Volatility Swap in the Lognormal SABR Model
Axioms, 2023 In the short time to maturity limit, it is proved that for the conditionally lognormal SABR model the zero vanna implied volatility is a lower bound for the volatility swap strike.
Elisa Alòs +2 more
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Lower bounds for zero knowledge on the Internet [PDF]
Proceedings 39th Annual Symposium on Foundations of Computer Science (Cat. No.98CB36280), 2002 We consider zero knowledge interactive proofs in a richer, more realistic communication environment. In this setting, one may simultaneously engage in many interactive proofs, and these proofs may take place in an asynchronous fashion. It is known that zero-knowledge is not necessarily preserved in such an environment; we show that for a large class of
Joe Kilian +2 more
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Lower bounds for zero-dimensional projections [PDF]
Proceedings of the 2009 international symposium on Symbolic and algebraic computation, 2009 Let I be an ideal generated by polynomials P1, ...Pm, ∈ Z[X1,...,Xn], and β be an isolated prime component of I. If the projection of ZERO(β)⊆Cn onto the first coordinate is a finite set, and ¶=(¶1,...,¶n) ∈ZERO(β) where ¶1 0, then we prove a lower bound on |¶| in terms of n, m and the maximum degree D and maximum height H of the polynomials.
W. Dale Brownawell, Chee-Keng Yap
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Global Dynamics at the Zero Lower Bound [PDF]
SSRN Electronic Journal, 2013 This article presents global solutions to standard New Keynesian models to show how economic dynamics change when the nominal interest rate is constrained at its zero lower bound (ZLB). We focus on the canonical New Keynesian model without capital, but we also study the model with capital, with and without investment adjustment costs.
William T. Gavin +3 more
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Nonlinear adventures at the zero lower bound [PDF]
Journal of Economic Dynamics and Control, 2012 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jesús Fernández-Villaverde +3 more
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