Recent portfolio choice asset pricing and option valuation models highlight the importance of skewness and kurtosis …

credit and liquidity risks resulting in compensations for (a) facing default risk of debtors, and (b) possible unexpected … liquidity-related parts and into an expectation part and risk premiums. Our results shed new light on the effects of … the euro interbank market is liquidity-related. …

exponential pricing formula of default does not apply. Using U.S. bond data, we show that allowing for the pricing of default …

The purpose of the paper is to introduce, in a discrete-time no-arbitrage pricing context, a bridge between the … pricing model. This goal is achieved by introducing the notion of Exponential-Quadratic SDF or, equivalently, the notion of … Second-Order Esscher Transform. The log-pricing kernel is specified as a quadratic function of the factor and the associated …

coupon bond data, to ensure liquidity, and to interpolate the discount function. We then estimate each proposed PC method for …

pricing models and of the roles played by the regimes in these models. Both default-free and defaultable bonds are considered …