Since the mid-1970's, the unbiased forward rate hypothesis (UFRH) of forward and spot exchange rates has been intensively studied and tested with inconclusive and contradictory results. On the basis of the hypothesis, this paper provides variable mean response (VMR) random coefficients models to...

Most of the models leading to an analytical expression for option prices are based on the assumption that underlying asset returns evolve according to a Brownian motion with drift. For some asset classes like commodities, a Brownian model does not fit empirical covariance and autocorrelation...