We present a new method of estimating the asset stochastic volatility and return. In doing so, we overcome some of the limitations of the existing random walk models, such as the GARCH/ARCH models.

We propose novel nonparametric estimators for stochastic volatility and the volatility of volatility. In doing so, we relax the assumption of a constant volatility of volatility and therefore, we allow the volatility of volatility to vary over time. Our methods are exceedingly simple and far...

We propose novel nonparametric estimators for stochastic volatility and the volatility of volatility. In doing so, we relax the assumption of a constant volatility of volatility and therefore, we allow the volatility of volatility to vary over time. Our methods are exceedingly simple and far...

We overcome a long-standing obstacle in statistics. In doing so, we show that the distribution of the sum of log-normal variables is log-normal. Furthermore, we offer a breakthrough result in finance. In doing so, we introduce a simple, exact and explicit formula for pricing the arithmetic Asian...

We introduce a simple, explicit formula for pricing the Bermudan options. Furthermore, the formula does not require any additional parameter (relative to the European option formula). Moreover, we provide an upper bound for the price

In this paper, we show that the influential Merton jump diffusion model and formula are needlessly cumbersome. In doing so, we provide a simple, explicit formula that doesn't require a computational method. Furthermore, we introduce a new, simple method for solving partial...

We prove that the assertion of Genest (2020) is incorrect and irrelevant. First, there is no claim (in the paper he is referring to) regarding the dependence of the non-arbitrary constant. That paper did not make any claim that would justify the emergence of Genest (2020). Furthermore, these are...

We overcome the limitations of the previous literature in the European options pricing. In doing so, we provide a closed-form formula that doesn't require any numerical/computational methods. The formula is as simple as the classical Black-Scholes pricing formula. In addition, we simultaneously...

We introduce a novel and convenient approach to utility modeling. In doing so, we present a general utility function in a very simple exact form. Furthermore, we develop a method to (accurately) measure preferences without any utility data. We also devise a method to measure the marginal...

We present simple parametric methods that overcome major limitations of the literature on joint/marginal density estimation. In doing so, we do not assume any form of marginal or joint distribution. Furthermore, using our method, a multivariate density can be easily estimated if we know only one...