June 2010

A direct formulation of implied volatility in the Black-Scholes model

  The inverse problem of option pricing, also known as market calibration, attracted the attention of a large number of practitioners and academics, from the moment that Black-Scholes formulated their model. The search for an explicit expression of volatility as a function of the observable variables has generated a vast body of literature, forming a specific branch of quantitative finance. But up to now, no...

Author(s): Philippe Jacquinot and Nikolay Sukhomlin

June 2010

Relative responsiveness of trade flows to changes in exchange rate and prices in selected ECOWAS countries: Does Orcutt hypothesis hold?

  This paper examines the elasticities of both export and import models in selected ECOWAS countries employing quarterly series from 1980Q1 to 2007Q4. Specifically, the objective of the paper is grounded in the need to evaluate the relative responsiveness of trade flows to changes in real effective exchange rate and prices among these countries. The empirical evidence from this paper indicates evidence of long...

Author(s): Olusegun Omisakin, Abimbola Oyinlola and Oluwatosin Adeniyi