Arbitrage Pricing Theory is a one period asset pricing model used to predict equity returns based on a multivariate …

management such as agency problems in the securitization market, poor rating and pricing standards, rating agency incentives …

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 …

We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple …

This paper deals with the estimation of continuous time stochastic volatility models of option pricing. We argue that …

This paper assesses the empirical performance of an intertemporal option pricing model with latent variables which … implicit parameters and forecast next day S&P 500 option prices, we obtain smaller pricing errors than with implied volatility …

Based on an empirical analysis of European corporations, we investigate the impact of sovereign risk on the pricing of … corresponding corporate CDS spreads and are a significant factor for corporate CDS pricing models. We also find that this impact in …