the mean and volatility of equity returns. Our model assumes a small risk of a rare disaster that is calibrated based on … the international data on large consumption declines. We allow the risk of this rare disaster to be stochastic, which … turns out to be crucial to the model's ability to explain both equity volatility and option prices. We explore different …

impose tight upper and lower bounds on the implied volatility …

-pricing perspective, e.g., negative skewness and excess kurtosis for asset returns, volatility 'smiles' for option prices. We perform …

to compute more complicated derivative securities …

We propose a nonparametric method for estimating the pricing formula of a derivative asset using learning networks …

the put spread cannot be attributed to an increase in idiosyncratic risk because the correlation of stock returns … increased during the crisis. The government's collective guarantee partially absorbs financial sector-wide tail risk, which … the bailout guarantee during the crisis. The model solves the problem of how to measure systemic risk in a world where the …

We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates …-coupon bond options and dynamics of the forward rate curve, under both the actual and risk-neutral measure, in terms of a finite …

well calibrated. Finally we assess the role of risk, finding little evidence that risk-aversion drives a wedge between …