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All of asset-pricing theory currently stems from one key assumption: price equals expected discounted payoff. And much … sense to put discount rates at the center of every asset-pricing model if market participants do not always use one. There ….We construct a new kind of asset-pricing model around this fact and show that it explains the market response to earnings surprises …
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We show how to set up a forward rate model in the presence of volatility uncertainty by using the theory of G-Brownian motion. In order to formulate the model, we extend the G-framework to integration with respect to two integrators and prove a version of Fubini's theorem for stochastic...
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I propose a novel dynamic portfolio-balance model of the yield curve for Government of Canada bonds to evaluate the portfolio-balance effects of the Bank of Canada's Government of Canada Bond Purchase Program. My results suggest that this program, launched on March 27, 2020, in response to the...
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