, viaduality, restrictions on pricing kernels and thereby gives tighter valuation boundson payoffs than absence of arbitrage alone … and global (conditional) pricing kernel restrictions for the temporally dynamicsetting. For the dynamic case, we show in a …

This paper studies the asset pricing implications of a general equi-librium model in which real investment is …

applications to, e.g., multivariate option pricing with stochasticvolatilities and correlations, fixed-income models with …

The pricing kernel puzzle is the observation that the pricing kernelmight be increasing in some range of the market … returns. This paperanalyzes the pricing kernel in a nancial market equilibrium. If mar-kets are complete and investors are … risk-averse and have common andtrue beliefs, the pricing kernel is a decreasing function of aggregateresources. If at least …

We study an equilibrium asset pricing model with several Lucas (1978) trees subject toevent risk, that is, the …

In this paper, we build a bridge between different reduced-form approaches to pricing defaultable claims. In particular … of Collin Dufresne et al. [8], wepropose a simple pricing formula under an equivalent change of measure.Two processes …