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This paper presents a set of probability density functions for EURIBOR outturns in three months’ time, estimated from the prices of options on EURIBOR futures. It is the first official and freely available dataset to span the complete history of EURIBOR futures options, thus comprising over ten years of daily data, from 13 January 1999 onwards. Time series of the statistical moments of these option-implied...
In his article the author, Dr Wolfgang Hetzer, deals with the origins of the financial crisis. In often rather plain words he points out that this financial crisis must have been a systemic crisis. In this regard Dr Hetzer comes to the conclusion that the crisis was caused by fault and not unforeseeable, as some would like to believe. In the third part of his article Dr Hetzer analyses the, as he...
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