In the 2000's large hedge funds became major investors in illiquid assets. When returns were steady, inflows and outflows of capital balanced each other out. But, in 2008 and 2009 investors removed capital at rapid rates despite depressed prices. In this paper we develop a Bayesian model where...

In this article, we present a multi-factor stochastic volatility framework for pricing European options based on independent component analysis. We fit this model to empirical data on exchange-traded options in order to create a consistent pricing and hedging mechanism for multi-asset...

This paper investigates the factors that drove the U.S. equity market returns from 2007 through early 2010. The period was highlighted by volatile energy and commodity prices, the collapse of insurance and banking firms, extreme implied volatility and a subsequent rally in the overall market. To...

This paper investigates the factors that drove the U.S. equity market returns from 2007 to early 2010. The period was highlighted by volatile energy and commodity prices, the collapse of insurance and banking firms, extreme implied volatility and a subsequent rally in the overall market. To...