Faced with the problem of pricing complex contingent claims, investors seek to make their valuations robust to model uncertainty. We construct a notion of a modeluncertainty-induced utility function and show that model uncertainty increases investors' effective risk aversion. Using this utility...

We examine the pricing of variance swaps and some generalizations and variants such as self-quantoed variance swaps, gamma swaps, skewness swaps and proportional variance swaps.We consider the pricing of both discretely monitored and continuously monitored versions of these swaps when the...

We examine how to approximate a Levy process by a hyperexponential jump-diffusion (HEJD) process, composed of Brownian motion and of an arbitrary number of sums of compound Poisson processes with double exponentially distributed jumps. This approximation will facilitate the pricing of exotic...

We present a new term-structure model for commodity futures prices based on Trolle and Schwartz (2009) which we extend by incorporating multiple jump processes. Our work explores the valuation of plain vanilla options on futures prices when the spot price follows a log-normal process, the...

This technical note serves to establish proofs for the list of statements in Bakshi, Crosby,and Gao (2019). We maintain their notation. Equation numbers not prefixed by letters refer to equations in Bakshi, Crosby, and Gao (2019). Section I studies the quantitative implications of the Vasicek...