Asset prices depend on two elements: the dynamics of the state variables and the pricing kernel. Traditional term structure models differ in factor dynamics. However, most of them imply a log-linear pricing kernel. We investigate empirically the role of factor dynamics and pricing kernel in...

We conduct the most comprehensive study to date of the Chinese warrants market in terms of the length of the sample period and the variety of the warrants investigated. During our sample period from August 2005 to September 2009, the underlying Chinese stock market peaked in October 2007, and...

We conduct the most comprehensive study to date of the Chinese warrants market in terms of the length of the sample period and the variety of the warrants investigated. During our sample period from August 2005 to September 2009, the underlying Chinese stock market peaked in October 2007, and...

Asset prices depend on two elements: the dynamics of the state variables and the pricing kernel. Traditional term structure models differ in factor dynamics. However, most of them imply a log-linear pricing kernel. We investigate empirically the role of factor dynamics and pricing kernel in...

We establish general conditions under which younger investors should invest a larger proportion of their wealth in risky assets than older ones. In the finite horizon dynamic setting, we show that such phenomenon, known as time diversification, can occur in the presence of human wealth, target...

We conduct the most comprehensive study to date of the Chinese warrants market in terms of the length of the sample period and the variety of the warrants investigated. During our sample period from August 2005 to September 2009, the underlying Chinese stock market peaked in October 2007, and...

<section xml:id="fut21654-sec-0001"> A random field LIBOR market model (RFLMM) is proposed by extending the LIBOR market model, with interest rate uncertainties modeled via a random field. First, closed‐form formulas for pricing caplet and swaption are derived. Then the random field LIBOR market model is integrated with the...</section>

This is the first comprehensive study of the SABR (Stochastic Alpha-Beta-Rho) model (Hagan et. al (2002)) on the pricing and hedging of interest rate caps. We implement several versions of the SABR interest rate model and analyze their respective pricing and hedging performance using two years...