John Theal

Banque Centrale du Luxembourg

2 Boulevard Royal

Luxemburg, L-2983

Luxembourg

SCHOLARLY PAPERS

3

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CROSSREF CITATIONS

3

Scholarly Papers (3)

1.

On the Lease Rate, Convenience Yield and Speculative Effects in the Gold Futures Market

Swiss Finance Institute Research Paper No. 09-07
Number of pages: 36 Posted: 21 Mar 2009 Last Revised: 06 Sep 2010
University of Lugano, University of London - Economics, Mathematics and Statistics and Banque Centrale du Luxembourg
Downloads 814 (29,023)
Citation 4

Abstract:

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gold futures market, convenience yield, gold lease rate, speculative pressure

2.

An MVAR Framework to Capture Extreme Events in Macro-Prudential Stress Tests

ECB Working Paper No. 1464
Number of pages: 46 Posted: 05 Sep 2012
Banque Centrale du Luxembourg, Banque Centrale du Luxembourg and Banque Centrale du Luxembourg
Downloads 52 (381,798)

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Stress testing, MVAR, tier 1 capital ratio, counterparty risk, Luxembourg banking sector

3.

Barrier Option Pricing Using Adjusted Transition Probabilities

https://doi.org/10.3905/JOD.2008.16.2.036, Swiss Finance Institute Research Paper No. 07-02
Posted: 22 Feb 2007
University of Lugano, Johns Hopkins University - Carey Business School and Banque Centrale du Luxembourg

Abstract:

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barrier option, binomial tree, convergence rate, transition probability