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Asset allocation with a high dimensional latent factor stochastic volatility model

Han, Yufeng - In: The review of financial studies 19 (2006) 1, pp. 237-271

Persistent link: https://www.econbiz.de/10003325179

Continuous time Wishart process for stochastic risk

Gouriéroux, Christian - In: Econometric reviews 25 (2006) 2/3, pp. 177-217

Persistent link: https://www.econbiz.de/10003355729

A new variance bound on the stochastic discount factor

Kan, Raymond; Zhou, Guofu - In: The journal of business : B 79 (2006) 2, pp. 941-961

Persistent link: https://www.econbiz.de/10003310426

Essays on stochastic volatility

Nossman, Marcus - 2009

Persistent link: https://www.econbiz.de/10003837367

A class of asset pricing models governed by subordinate processes that signal economic shocks

Jagannathan, Raj - In: Journal of economic dynamics & control 32 (2008) 12, pp. 3820-3846

Persistent link: https://www.econbiz.de/10003804746

On the foundations of Lévy finance : equilibrium for a single-agent financial market with jumps

Herzberg, Frederik - 2008

For a continuous-time financial market with a single agent, we establish equilibrium pricing formulae under the assumption that the dividends follow an exponential Lévy process. The agent is allowed to consume a lump at the terminal date; before, only flow consumption is allowed. The agent's...