. Valuation by discounting at a risk-adjusted discount rate is shown to be admissible under certain assumptions, and the practical … problems of estimating risk premia are discussed. More general valuation approaches are introduced under the rubric of … example, for stochastic interest rates and risk premia. This leads naturally to a discussion of real options and of the role …

exchange any of the bonds permitted as deliverable against their par value. Unlike bonds, whose risk spreads are assumed to be … the product of default risk and loss rate, CDS are par instruments, and their spreads reflect the partial recovery of the …

We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … how these volatility measures can be used for risk management. We find that momentum risk management significantly … increases Sharpe ratios, but at the same time may lead to more pronounced negative skewness and tail risk. Furthermore, momentum …