This paper proposes an accurate, parsimonious and fast-to-estimate forecasting model for integer-valued time series with long memory and seasonality. The modelling is achieved through an autoregressive Poisson process with a predictable stochastic intensity that is determined by two factors: a...

In this study, we separately estimate the implied volatility from bid prices and ask prices ofdeep out-of-the-money (OTM) put options on the S&P500 index. We find that the impliedvolatility of ask prices has stronger stock return predictability than that of bid prices. Our finding is robust to...

In this thesis, a new methodology using convex risk measures is developed to incorporate parameter risk into prices of financial derivatives, provided that a distribution on the parameter space is given. A technique to induce a parameter distribution in case of calibration to market prices is...