Statistical theory has been relatively absent in the exercise of estimating parameters of an option pricing model from cross-sectional data at a fixed point of calendar time. The cross-sectional data typically consists of prices for options at various strikes and maturities at market close. The...

This paper considers multiple market agents who have distinct distributional opinions about the state price density. Different opinions can be contested on a hypothetical market that trades Arrow-Debreu securities. We focus on the situation when the agents are maximizing logarithmic utility as...

The paper contributes to the stochastic volatility literature by developing simulation schemes for the conditional distributions of the price of long term bonds and their variability based on non-standard distributional assumptions and volatility concepts; itillustrates the potential value of...

Commodity style-integration is appealing because by forming a unique long-short portfolio with simultaneous exposure to mildly correlated factors, a larger risk premium can be captured over time than with any of the underlying standalone styles. A practical decision that a commodity...