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One of the problems which has plagued those attempting to predict the behavior of capital markets is the absence of a body of positive microeconomic theory dealing with conditions of risk. Although many useful insights c...

In both corporate finance and asset pricing empirical work, researchers are often confronted with panel data. In these data sets, the residuals may be correlated across firms and across time, and OLS standard errors can ...

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This paper uses an intertemporal general equilibrium asset pricing model to study the term structure of interest rates. In this model, anticipations, risk aversion, investment alternatives, and preferences about the timi...

I use a new technique to derive a closed-form solution for the price of a European call option on an asset with stochastic volatility. The model allows arbitrary correlation between volatility and spotasset returns. I in...

Materias / palabras clave: asset pricing, derivative pricing and hedging, disruptive financial models, extreme risks and insurance, high frequency and algorithmic trading, taxation; Law: Law in general. Comparative and uniform law. Jurisprudence: ...

Materias / palabras clave: econometric methodology, finance applications, asset pricing, financial predictablility, economics, data science; Science: Mathematics: Instruments and machines: Electronic computers. Computer science; Social Sciences: F...