Given a European derivative security with an arbitrary payoff function and a corresponding set of" underlying … securities on which the derivative security is based, we solve the dynamic replication problem: find a" self-financing dynamic …-dependent options and options on assets with stochastic volatility and jumps. " …

We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates …

, including influential studies identifying price bubbles in periods of high volatility. Here we consider a model of the market …

impose tight upper and lower bounds on the implied volatility …

is good news for the theory and for market efficiency, not bad news. In terms of residual FCOJ return volatility, we also … fundamentals, focusing primarily on temperature. We show that when theory clearly identifies the fundamental, i.e., at temperatures …-thirds of the entire winter return variability occurs on these days. Moreover, when theory suggests no such relation, i.e., at …

We conduct a comprehensive analysis of unspanned stochastic volatility in commodity markets in general and the crude …-oil market in particular. We present model-free results that strongly suggest the presence of unspanned stochastic volatility in … stochastic volatility. The model features correlations between innovations to futures prices and volatility, quasi …

An efficient method is developed for pricing American options on combination stochastic volatility …/jump-diffusion processes when jump risk and volatility risk are systematic and nondiversifiable, thereby nesting two major option pricing … models. The parameters implicit in PHLX-traded Deutschemark options of the stochastic volatility/jump- diffusion model and …

the mean and volatility of equity returns. Our model assumes a small risk of a rare disaster that is calibrated based on … turns out to be crucial to the model's ability to explain both equity volatility and option prices. We explore different …

Apparent mean reversion and excess volatility in stock market prices can be reconciled with the Efficient Market … production side of the economy exhibit mean reversion. It also predicts that mean reversion and excess volatility will differ …

excess longer-term volatility relative to fundamentals. Valuing a house involves forecasting the current and future demand to …