The real options approach considers strategic management and decision-making as a process aimed at actively reducing exposition to downside risk and promoting exposition to upside opportunities. It stands at the hinge between pure finance and other areas of decision making under risk such as...

The real options approach considers strategic management and decision-making as a process aimed at actively reducing exposition to downside risk and promoting exposition to upside opportunities. It stands at the hinge between pure finance and other areas of decision making under risk such as...

We provide results for the valuation of European style contingent claims for a large class of specifications of the underlying asset returns. Our valuation results obtain in a discrete time, infinite state-space setup using the no-arbitrage principle and an equivalent martingale measure. Our...

Equity risk measured by beta is of great interest to both academics and practitioners. Existing estimates of beta use historical returns. Many studies have found option-implied volatility to be a strong predictor of future realized volatility. We .nd that option-implied volatility and skewness...

Standard empirical investigations of jump dynamics in returns and volatility are fairly complicated due to the presence of latent continuous-time factors. We present a new discrete-time framework that combines heteroskedastic processes with rich specifications of jumps in returns and volatility....

We show that using data which are properly available in real time when assessing the sensitivity of asset prices to economic news leads to different empirical findings that when data availability and timing issues are ignored. We do this by focusing on a particular example, namely Chen, Roll and...

We consider three sets of phenomena that feature prominently and separately in the financial economics literature: conditional mean dependence (or lack thereof) in asset returns, dependence (and hence forecastability) in asset return signs with implications for market timing, and dependence (and...

Value-at-Risk (VaR) has emerged as the standard tool for measuring and reporting financial market risk. Currently, more than eighty commercial vendors offer enterprise or trading risk management systems which report VaR-like measures. Risk managers are therefore often left with the daunting task...

The variation in managerial compensation across countries and industries for firms of similar size is staggering. We analyze this phenomenon in a continuous time model of the firm, where the economic environment evolves stochastically over time and where changes to the firm operations are...