new explanation of the smile pattern of implied volatility related to the lack of market liquidity. Finally we present …

time-varying dynamics for conditional variance of bond and currency returns. Furthermore, we propose an m+n model structure …

arguably a superior proxy to credit risk than bond spreads. The variables considered include fixed-income as well as equity … bond spreads when pricing credit risk. …

general branching processes. Secondly, we improve Hull-White's procedure to calibrate the tree to bond prices by a much more … adjusted to the volatility structure. The proposed approach leads to an efficient and exible constron met for trinomial trees …

order belief", on asset price volatility. The paper shows that heterogeneous expectations induce higher order beliefs and … that heterogeneous expectation asset pricing models thoretically generate more volatility than rational expectation models … results shows that a model with higher order beliefs generates a level of volatility in line with the price volatility …

This paper develops a default-risky bond pricing model, which assumes that the default intensity is driven by a Markov … chain and which accounts for default and liquidity risk. A representation of the bond price dynamics, which separates three … and valuation of a default-risky bond in this market was provided. …