The paper investigates the pricing of derivative securities with calendar-time maturities.

In this paper, we introduce a new approach for volatility modeling in discrete and continuous time.

In this paper, we study several tests for the equality of two unknown distributions. Two are based on empirical distribution functions, three others on nonparametric probability density estimates, and the last ones on differences between sample moments.

In this paper, we provide both quantitative and quantitative measures of the cost of measuring the integrated volatility by the realized volatility when the frequency of observation is fixed.