We derive a coherent multi-factor model for pricing various derivatives written on the same underlying (potentially non-tradable) asset. We show the difference between a case in which the underlying asset is self-financed and tradable and a case in which it is not. In the first case, an...

We introduce a class of autoregressive gamma processes with conditional distributions from the family of noncentered gamma (up to a scale factor). The paper provides the stationarity and ergodicity conditions for ARG processes of any autoregressive order p, including long memory, and closed-form...

This paper introduces impulse response analysis for nonlinear processes based on the concept of nonlinear innovation. Our approach borrows from the traditional linear impulse response analysis in that we consider shocks to innovations of a process. It also extends the methods of nonlinear...

This paper introduces a new fund performance measure, called the L-performance. It is proposed as an alternative to the Sharpe performance measure that is commonly used for fund performance valuation despite its inability to account for skewness and thick tails of fund return distributions. The...