In this paper we introduce the Extended Method of Moments (XMM) estimator. This estimator accommodates a more general set of moment restrictions than the standard Generalized Method of Moments (GMM) estimator. More specifically, the XMM differs from the GMM in that it can handle not only uniform...

Linear factor models, where the factors are affine processes, play a key role in Finance, since they allow for quasi-closed form expressions of the term structure of risks. We introduce the class of noncausal affine linear factor models by considering factors that are affine in reverse time....

This paper analyzes the risks in random sets and their implications for basket derivatives. Based on an extension of integration by parts for random set, we define stochastic dominance of order 1 and 2 for random sets. Since the ordering of sets, that is the inclusion, is a partial order, we...