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

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

We consider the original Arrow-Lind framework in which a government undertakes a risky project to be shared among many taxpayers. In our model, the taxpayers decide the level of participation in the risky project. Moreover, the amount of taxes collected by the government fully finances the...

We study the effect of an asymmetric environment on risk sharing. In our model, entrepreneurs consider undertaking risky projects in the real sector as well as selling part of their projects to investors. To capture the idea of an asymmetric environment, the returns on the alternative risk-free...

Dans cet article, pour etendre la theorie du consommateur a ses choix d'epargne et de placements, on utilise a la fois la theorie usuelle, celle des caracteristiques et celle du raisonnement quantitatif. On en deduit un systeme complet de demandes comprenant simultanement les quantites de biens...

This paper prepared for the Handbook of Statistics (Vol.14: "Statistical Methods in Finance"), surveys the subject of stochastic volatility. the following subjects are covered: volatility in financial markets (instantaneous volatility of asset returns, implied volatilities in option prices and...

In this paper we test a version of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the 1976-1992 period. We also test a conditional APT model by using the difference between the 30-day rate (Cdb) and the overnight rate as a second factor...

This paper prepared for the Handbook of Statistics (Vol.14: "Statistical Methods in Finance"), surveys the subject of stochastic volatility. The following subjects are covered: volatility in financial markets (instantaneous volatility of asset returns, implied volatilities in option prices and...

Dans cet article, pour etendre la theorie du consommateur a ses choix d'epargne et de placements, on utilise a la fois la theorie usuelle, celle des caracteristiques et celle du raisonnement quantitatif. on en deduit un systeme complet de demandes comprenant simultanement les quantites de biens...

We explore how the demand for a risky asset can be separated into an investment effect and a hedging effect by all risk-averse investors. This question has been shown to be complex when considered outside of the mean-variance framework. We restrict dependence among returns on the risky assets to...