We develop a unified approach with closed-form solutions for pricing bonds, stocks,currencies and their derivatives. The specification assumes a fundamental risk factorrepresented by a stochastic positive definite matrix following a Wishart autoregressive(WAR) process. By assuming a...

Risks are usually represented and measured by volatility-covolatility matrices.Wishart processes are models for a dynamic analysis of multivariaterisk, that describe the evolution of stochastic volatility-covolatility matrices,constrained to be symmetric positive definite. The autoregressive...

This paper provides a uni¯ed statistical framework for the analysis of distortion riskmeasures (DRM) and of their sensitivities with respect to parameters representing riskaversion and/or pessimism. We derive the general formula for calculating the functionalasymptotic distribution of the...

In this paper we consider an incomplete market framework and explainhow to use jointlyobserv ed prices of the underlying asset and of some derivativeswritten on this asset for an efficient pricing of other derivatives. Thisquestion involves two types of moment restrictions, which can be...