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The likelihood of extreme daily changes in London Interbank Offer rates are estimated using the peaks-over-threshold method developed from extreme value theory. Value at risk and expected shortfall for high quantiles are produced for the left and right tails of the distributions for each...
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This article presents a pure exchange economy that extends Rubinstein (1976) to show how the jump-diffusion option pricing model of Merton (1976) is altered when jumps are correlated with diffusive risks. A non-zero correlation between jumps and diffusive risks is necessary in order to resolve...
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We derive the total variance risk premium for an index in the stochastic environment of Driessen, Maenhout and Vilkov (2009) and correct the previous authors omission of certain components which contribute significantly to index option expected returns. This study provides a mathematically...
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The present study focuses on identifying and estimating the extent of earning inequality due to increase in the level of education in Pakistan. Utilizing four rounds of household level surveys conducted at national level during 2001-2014, the study analyzes the effect of education on earning...
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