Stochastic models of exchange-rate dynamics and their implications for the pricing of foreign-currency options.

The aim of this study is to find a suitable approach to model econometrically exchange-rate dynamics. In the first chapter, I examine the empirical properties of four exchange rates. The data used are daily, weekly, monthly and quarterly exchange rates of the German mark, the British pound, the Swiss franc, and the Japanese yen against the U.S. dollar from July 1974 to December 1987.1 study the moment properties and time-series properties of these exchange rates and find in daily and weekly data leptokurtosis and heteroskedasticity. On the other hand, the hypotheses of no serial correlation, of a constant mean of zero, and of a symmetric distribution cannot be rejected. The fact that the daily and weekly data are not strictly equi-distant does not have a strong impact on these empirical regularities. In chapter 2, static distributional models (mixture of distributions, compound Poisson process, Student distribution, and stable Paretian distributions) are estimated. Chi-squared goodness-of-fit tests reject these models. Direct inferential evidence against stable distributions is found by estimating the characteristic exponent by FFT and by estimating the exponent of regularly varying tails. In chapter 3, dynamic models of heteroskedasticity (ARCH and Markov-switching models) are introduced. Quite satisfactory results are obtained for the EGARCH model and the Markov-switching model whereas the ARCH, GARCH and GARCH-t models are in conflict with stationarity conditions for the variance. Chapter 4 compares the static and dynamic models with respect to goodness-of-fit and forecasting performance. With respect to goodness-of-fit criteria, the dynamic models appear to be superior to the static models. Furthermore, the dynamic models outperform a naive model of constant variance with respect to unbiasedness but not with respect to precision. Chapter 5 studies the option-price implications of the static and dynamic models. The spot-rate effects of static models are rather small and they disappear, as expected, under temporal aggregation. GARCH and EGARCH models, on the other hand, imply higher option prices compared to Black-Scholes option prices along the whole spectrum of moneyness. Only the Markov-switching model is compatible with observed smile effects

Implementation of endoscopic submucosal dissection in Europe: survey after ten ESD expert training workshops 2009 – 2018

Background and aims Transfer of ESD technique for early gastrointestinal cancer from Japan requires expert-supervised experimental training before unsupervised implementation of clinical ESD. Aims To evaluate unsupervised implementation of ESD-intention-to-treat (-ITT). Methods ESD Workshops (in-vivo porcine model) lasted 3.3 days including one day theory for 177 participants from 135 Western referral centers. A questionnaire was sent to the senior participant of all 135 centers. Design Cross-sectional questionnaire survey. Main outcome measurements Performance, organ distribution, severe adverse events of ESD-ITT. Results Feedback was received from 113 centers (84%), i.e. 73 (54%) ESD centers and 40 centers (30%) with zero ESD; 10 (7%) had published ESD; no feedback from 12 (9%) centers with unknown status. Altogether, 83 centers (61.5%) perform ESD: 21 (16%) had >150 ESD (professional category), 33 (24%) had 31-150 ESD (competent category), and 29 (21.5%) had ≤ 30 ESD (initial learning category). Most implemented ESD centers (91%, 72 of 79) were analyzed: Centers on initial learning (420 ESD) compared to centers with >30 ESD (5676 ESD) performed en-bloc ESD in 64% vs. 84%, hybrid-ESD in 26% vs.11% and piecemeal-EMR in 10% vs. 5.2%. Majority of ESD (66-68%) were in colorectum, overall with low risk (30-day mortality 0.03%, surgical repair 3.5% vs. 1.7%) and satisfactory outcome (oncosurgery 7.4% vs. 5.2%, local recurrence 1.5% vs. 0.3%). Conclusions Beyond guideline recommendations, unsupervised implementation of ESD was successful in colorectum with step-up approach. Now, Western ESD centers have to aim for professional (i.e. >80%) curative ESD

Statistical properties of exchange rates

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-24105 Kiel / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekDEGerman

A new proof of the leptokurtosis theorem for Poisson sums of random variables

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-24105 Kiel / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekDEGerman

On the modelling of exchange rate dynamics by stable paretian distributions

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-24105 Kiel / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekDEGerman

Some variations on the compound Poisson process as a model of price dynamics in financial markets

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-24105 Kiel / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekDEGerman

A law of iterated expectations for higher order central moments

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-24105 Kiel / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekDEGerman

Forecasting volatility and option pricing for exchange-rate dynamics: a comparison of models

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-24105 Kiel W 636 (93.19) / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekDEGerman

Price dynamics in foreign exchange markets: an empirical study

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-24105 Kiel / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekDEGerman

Markov-switching models for exchange-rate dynamics and the pricing of foreign-currency options

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-24105 Kiel W 636 (93.03) / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekDEGerman