reduced, the risk neutral hypothesis outperforms the hypothesis of thinking-by-analogy. Regardless of the similarity between …

pricing power law which eschewed assumptions about risk attitudes, rejected risk neutrality, and made no assumptions about … estimation of risk factor exposure for Greeks by standard [polynomial] regression procedures. Thereby providing a theoretical (a … empirical pricing kernel for call option based on residuals from a model of risk exposure to persistent and transient risk …

Tim Xiao: This paper argues that the reduced-form jump diffusion model may not be appropriate for credit risk modeling …

approach based upon the psychology of investors. In this approach, security expected returns are determined by both risk and …

Standard consumption-based asset pricing models focus on the consumption risk, seen as the only source of fluctuations … and information about risk for the informed investor. These models, however, can account for high expected excess stock … return only when assuming implausible relative risk aversion. This paper adds additional risk factors to the standard C …

studies on cross-sectional risk pricing …

studies on cross-sectional risk pricing …

plus a 3x6 months Forward Rate Agreement (FRA), and that Libor was a good proxy of the risk free rate required as basic … carry very important consequences in derivative’s trading and risk management, such as, for example, basis risk …