This paper will examine a model with many agents, each of whom has a different belief about the dynamics of a risky asset. The agents are Bayesian and so learn about the asset over time. All agents are assumed to have a finite (but random) lifetime. When an agent dies, he passes his wealth (but...

This paper approaches the definition and properties of dynamic convex risk measures through the notion of a family of concave valuation operators satisfying certain simple and credible axioms. Exploring these in the simplest context of a finite time set and finite sample space, we find natural...

In earlier studies, the estimation of the volatility of a stock using information on the daily opening, closing, high and low prices has been developed; the additional information in the high and low prices can be incorporated to produce unbiased (or near-unbiased) estimators with substantially...

We introduce a simple model for the pricing of European-style options when the underlying dividend process is given by a geometric Brownian motion with Markov-modulated coefficients. It turns out that the corresponding stock process is characterized by both stochastic coefficients and jumps....

In the econometrics of financial time series, it is customary to take some parametric model for the data, and then estimate the parameters from historical data. This approach suffers from several problems. Firstly, how is estimation error to be quantified, and then taken into account when making...

In this paper we solve the hedge fund manager's optimization problem in a model that allows for investors to enter and leave the fund over time depending on its performance. The manager's payoff at the end of the year will then depend not just on the terminal value of the fund level, but also on...

The potential approach is a general and simple method for modelling interest rates, foreign exchange rates, and in principle other types of financial assets. This paper takes data on some liquid interest rate derivatives, and fits potential models using a small finite-state Markov chain as the...

The paper proposes an original class of models for the continuous-time price process of a financial security with nonconstant volatility. The idea is to define instantaneous volatility in terms of exponentially weighted moments of historic log-price. The instantaneous volatility is therefore...