This paper considers the pricing of options when there are jumps in the pricing kernel and correlated jumps in asset returns and volatilities. Our model nests Duan's GARCH option models, where conditional returns are constrained to being normal, as well as mixed jump processes as used in Merton....

We establish Markovian models in the Heath, Jarrow and Morton paradigm that permit an exponential affine representation of riskless and risky bond prices while offering significant flexibility in the choice of volatility structures. Estimating models in our family is typically no more difficult...

We establish Markovian models in the Heath, Jarrow and Morton paradigm where the credit spreads curves of multiple firms and the term structure of interest rates can be represented analytically at any point in time in terms of a finite number of state variables. The models make no restrictions...

We establish Markovian models in the Heath, Jarrow, and Morton (1992) paradigm that permit an exponential affine representation of riskless and risky bond prices while offering significant flexibility in the choice of volatility structures. Estimating models in our family is typically no more...

In the development of the national economy, the means of production and the means of livelihood must develop in a proper ratio. The development of the production of the means of production must be at a faster rate than that of the means of livelihood. However, if the development of the...

My dissertation aims at understanding the economic force behind the success of long-run consumption-based asset pricing models, it consists of three chapters. It also provides us a new approach to test consumption-based asset pricing models. Chapter one provides a brief summary of the...

This paper examines a new set of implications for existing asset pricing models regarding the correlation between returns and consumption growth over both the short run and the long run. The fi ndings suggest that external habit formation models face a challenge in producing two robust facts in...