The existing empirical evidence does not yet provide a clear understanding of how leverage and expected equity returns are related. While some studies show a positive relationship between financial leverage and returns, others conclude that returns are either insensitive or decrease with...

We view economic time series as the result of a cascade of shocks occurring at different times and different frequencies (scales). We suggest that economic relations that are found to be elusive when using raw data may hold true for different layers (details) in the cascade of economic shocks....

We propose a decomposition for time series in components classified by levels of persistence. Employing this decomposition, we provide empirical evidence that consumption growth contains predictable components highly correlated with well-known proxies of consumption variability. These components...

type="main" xml:lang="en" <p>We illustrate a numerical simulation method to decompose a portfolio of derivative securities in a linear combination of dynamical risk factors. The price of the portfolio and its sensitivities are linear functions of these factors. <p>The method generalizes the static...</p></p>

This paper proposes a framework to evaluate the impact of longevity-linked securities on the risk-return trade-off for traditional portfolios. Generalized unexpected raise in life expectancy is a source of aggregate risk in the insurance sector balance sheets. Longevity-linked securities are a...

We propose an extension of the transform approach to option pricing introduced in Duffie, Pan and Singleton (Econometrica 68(6) (2000) 1343–1376) and in Carr and Madan (Journal of Computational Finance 2(4) (1999) 61–73). We term this extension the "coherent state transform" approach, it...

We model the volatility of a single risky asset using a multifactor (matrix) Wishart affine process, recently introduced in finance by Gourieroux and Sufana. As in standard Duffie and Kan affine models the pricing problem can be solved through the Fast Fourier Transform of Carr and Madan. A...

In this paper, we analyse the Affine Term Structure Model (ATSM) proposed by Balduzzi, Das, Foresi and Sundaram (BDFS, 1996) and provide the closed-form expression of the bond price. In addition, we extend the notion of Impulse Response Function to the class of ATSM. We show that it is closely...