Given an underlying complete financial market, we study the pricing and hedging of contingent claims whose payoffs may depend on the occurrence of extraneous, non market events. After a detailed analysis of the arbitrage pricing and almost sure hedging of such claims, we specialize our framework...

We model the properties of equilibrium spot and futures oil prices in a general equilibrium production economy with two goods. In our model production of the consumption good requires two inputs: the consumption good and a Oil. Oil is produced by wells whose flow rate is costly to adjust....

Using straight industrial bonds with quoted prices, we investigate the determinants of credit spread changes. The variables that should in theory determine credit spread changes in fact have limited explanatory power. Further, the residuals from this first-pass regression are highly...

We identify a class of term structure models possessing a generalized affine-structure that significantly extends the class studied by Duffie, Pan, and Singleton (2000). For this class of models, which includes both infinite-state-variable (ie HJM-type) and infinite-factor (random field) models,...

Most models of the term structure are restrictive in that they assume the bond market forms a complete market. That is, they assume all sources of risk affecting fixed income derivatives can be completely hedged by a portfolio consisting solely of bonds. Below, we demonstrate that this...