We examine whether bond ratings contain pricing relevant information, that is unavailable to investors form other …

This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of … introduction into ABX index mechanics and a discussion of historical pricing patterns, we use regression analysis to establish the … for the inappropriateness of pricing models that do not sufficiently account for factors such as risk appetite and …

applications to, e.g., multivariate option pricing with stochasticvolatilities and correlations, fixed-income models with …

This paper analyzes empirical market utility functions and pricing kernelsderived from the DAX and DAX option data for …

The observed prices of out-of-the money put options seem too high given standardderivative pricing models. One possible … explanation is a Peso problem: crashes (forwhich the payoff of a put is high) are taken into account for pricing, but are under … derived pricing restriction controllingfor the peso problem is violated.In this paper, we argue that the approach presented by …

We study an equilibrium asset pricing model with several Lucas (1978) trees subject toevent risk, that is, the …

building block of no-arbitrage pricing theory. Nowadays, in the modern financial world after the credit crunch, some Libors are …