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Empirical findings on interest rate dynamics imply that short rates show some long memories and non-Markovian. It is well-known that fractional Brownian motion (IBm) is a proper candidate for modelling this empirical phenomena. IBm. however. is not a semimartingale process. For this reason. it is very hard to apply such processes for asset price modelling.

Without using Ito formula, we investigate the IBm interest rate theory‘ We obtain a pure discount bond price. and Greeks by using Malllavin calculus.

This paper derives the analytic solutions of the pure discount bond price under the various types of -stable Levy process. It is well-known that only a few cases in-stable Levy process have the moment generating function. This paper extends the model to damped-stable Levy processes, which have artificial stable process with the moment generating function. This paper also extends models to stochastic volatility by time change method of Levy process.

This paper examines the pricing of interest rates derivatives such as caps and swaptions in the pricing kernel framework. The underlying state variable is extended to the general infinitely divisible Levy process. For computational purposes, a simple pricing kernel as in Flesaker and Hughston (1996) and Jin and Glasserman (2001) is used. The main contribution or purpose of this paper is to find several proper positive martingales, which is key role of practical applications of the pricing kernel approach with interest rates guarantee to be positive. Particularly, this paper first finds and applies a quite general type of a positive martingale process to pricing interest rate derivatives such as swaptions and range notes in the incomplete market setting. Such interest rate derivatives are hard to find analytic solutions. Consequently, this paper shows that such a choice of the positive martingale in the kernel framework is a promising approach to price interest rate derivatives

Any finance models must specify the market prices of risk that determines the relationship between the two probability measures. Although the general form of the change of measure is well known, few papers have investigated the change of measure for interest rate models and their implications for the way a model can fit to empirical facts about the behaviour of interest rates. This paper demonstrates that arbitrary specifications of market price of risk in empirical studies under the two factor affine interest rate model with jumps are not compatible with the theory of original interest rate model. Particularly, the empirical models of Duffee (2002) and Duarte (2003) may be wrong specifications in some parts under a rigorous theoretical interest rate theory.

This study proposed an optimal model to examine the relationship between the Bitcoin price and six macroeconomic variables – the Bitcoin price, Standard and Poor's 500 volatility index, US treasury 10-year yield, US consumer price index, gold price and dollar index. It also examined the effectiveness of the vector error correction model (VECM) in analyzing the interrelationship among these variables. The authors employed the following approach: first, the authors sampled the period August 2010–February 2022. This is because Bitcoin achieved a market capitalization of more than US$1 tn over this period, gaining market attention and acceptance from retail, corporate and institutional investors. Second, the authors employed a VECM with the six macroeconomic variables. Finally, the authors expanded the long-run equilibrium relationship (time-invariant cointegration)-based VECM to develop a time-varying cointegration (TVC) VECM. The authors estimated the TVC VECM using the Chebyshev polynomial specification based on various information criteria. The results showed that the Bitcoin price can be modeled with the VECM (p = 1, r = 1). The TVC approach generated more explanatory power for Bitcoin pricing, indicating the effectiveness of the approach for modeling the long-run relationship between Bitcoin price and macroeconomic variables.

From 1953 to 1961, the South Korean economy grew slowly; the average per capita GNP growth was a mere percent, amounting to less than $100 in 1961. Few people, therefore, look for the sources of later dynamism in this period. As Kyung Cho Chung (1956:225) wrote in the mid‐1950s: “[South Korea] faces grave economic difficulties. The limitations imposed by the Japanese have been succeeded by the division of the country, the general destruction incurred by the Korean War, and the attendant dislocation of the population, which has further disorganized the economy” (see also McCune 1956:191–192). T.R. Fehrenbach (1963:37), in his widely read book on the Korean War, prognosticated: “By themselves, the two halves [of Korea] might possibly build a viable economy by the year 2000, certainly not sooner.”

This paper investigates a retrospective on the Journal of Derivatives and Quantitative Studies (JDQS) on its 30th anniversary based on bibliometric. JDQSs yearly publications, citations, impact factors, and centrality indices grew up in early 2010s, and diminished in 2020. Keyword network analysis reveals the JDQS's main keywords including behavioral finance, implied volatility, information asymmetry, price discovery, KOSPI200 futures, volatility, and KOSPI200 options. Citations of JDQS articles are mainly driven by article age, demeaned age squared, conference, nonacademic authors and language. In comparison between number of views and downloads for JDQS articles, we find that recent changes in publisher and editorial and publishing policies have increased visibility of JDQS.

The purpose of this paper is to review historical progress and current picture of decentralization in Korea from political, administrative and fiscal perspectives.

This paper draws on economic as well as political theories regarding decentralization and describes historical development of the local autonomy system in Korea.

This paper discusses the current discrepancies among the progress of political, administrative and fiscal independence in the local autonomy system in Korea and concludes that the lack of fiscal independence in the local level significantly undermines the efficacy of political and administrative decentralization in Korea.

Decentralization has three distinct perspectives. This paper examines decentralization in Korea from all three perspectives.

The issue of the reunification of North and South Korea attracted worldwide attention in June 2000, when the historic summit meeting between the two top Korean leaders was held in North Korea. Although recently the two Koreas have stepped up their efforts toward reconciliation, international scholars and researchers in Korean studies seem to agree that Korean reunification will be slow and difficult. For this reason, they are researching possible solutions to the critical problems involved, and thus there has been an upsurge of published materials on reunification. This annotated bibliography aims to serve as a guide to these materials. Although this bibliography is selective in that it is limited to literature published in English since 1996, it has wide content coverage and includes books, journals, government publications, special reports, research papers, and Websites. Given the complicated and dynamic situation in Korea, this bibliography will be of use to those who are concerned with Korean reunification.