Many of the concepts in theoretical and empirical finance developed over the past decades – including the classical portfolio theory, the Black-Scholes-Merton option pricing model or the RiskMetrics variance-covariance approach to VaR – rest upon the assumption that asset returns follow a...

Efficient posterior simulators for two GARCH models with generalized hyperbolic disturbances are presented. The first model, GHt-GARCH, is a threshold GARCH with a skewed and heavy-tailed error distribution; in this model, the latent variables that account for skewness and heavy tails are...

In this paper, we provide a new dynamic asset pricing model for plain vanilla options and we discuss its ability to produce minimum mispricing errors on equity option books. Given the historical measure, the dynamics of assets are modeled by Garch-type models with generalized hyperbolic...

The log-normal distribution is a popular model in biostatistics as in many other fields of statistics. Bayesian inference on the mean and median of the distribution is problematic because, for many popular choices of the prior for variance (on the log-scale) parameter, the posterior distribution...

In this paper, we introduce a new approach to estimate the subjective distribution of the future short rate from the historical dynamics of futures, based on a model generated by a Normal Inverse Gaussian distribution, with dynamical parameters. The model displays time varying conditional...

In this paper, we present an alternative to the Black Scholes model for a discrete time economy using GARCH-type models for the underlying asset returns with Generalized Hyperbolic (GH) innovations that are potentially skewed and leptokurtic. Assuming that the stochastic discount factor is an...

In this paper, we present an alternative to the Black Scholes model for a discrete time economy using GARCH-type models for the underlying asset returns with Generalized Hyperbolic (GH) innovations that are potentially skewed and leptokurtic. Assuming that the stochastic discount factor is an...