The researchers note that the Black-Scholes model was developed in the 1970s to price simple call and put options, and a key point of the model was that market makers could delta hedge – cancel out ...

Equity market volatility in advanced economies shot through the roof when the credit and liquidity crisis kicked in last year and has been high ever since. It might have been expected then that the ...

NZGB-swap spreads tend to become more volatile during periods of global sovereign bond market illiquidity and moved persistently higher after the Global Financial Crisis. The increase in NZGB-swap ...