Joint densities for a sequential pair of returns with weak autocorrelation and strong correlation in squared returns are formulated. The marginal return densities are either variance gamma or bilateral gamma. Two dimensional matching of empirical characteristic functions to its theoretical...

Noting that risk neutral distributions are estimated by minimizing the squared deviations between market and model option prices we consider using option payoff moments in estimating distributional parameters from a sample of observations. It is observed, in particular when compared to maximum...

Time changes of Brownian motion impose restrictive jump structures in the motion of asset prices. Quadratic variations also depart from time changes. Joint Laplace Fourier transforms for quadratic variation and the stock are developed. They are used to study the multiple of the cap strike over...

Daily asset returns are modeled using self decomposable limit laws and the structure is used to estimate the density of the uncentered data. Estimates of mean returns are a byproduct of the density estimate. Estimates of mean returns via density estimation have significantly lower standard...