information set for the estimation of the empirical pricing kernel and, more in general, for the validity of the fundamental … theorems of asset pricing. While inferring the risk-neutral measure from options data provides a naturally forward- looking … nullsets thus distorting the investor's risk premium. It follows that the relative empirical pricing kernel is no longer a true …

This chapter surveys the literature on fixed-income pricing models, including dynamic term-structure models, and … interest-rate sensitive, derivative pricing models. Our overview of conceptual approaches highlights the tradeoffs that have … emerged between the complexity of the probability model for the “risk factors≓, data availability, the pricing objective, and …