Data reduction involves a physical transition from sample data to econometric estimator and test statistic. This transition induces a mapping on the probability law of the sample, whose image is the distribution of the statistic of interest. At a general level, the mapping can often be captured...

Asymptotic expansions are derived as power series in a small coefficient entering a nonlinear multiplicative noise and a deterministic driving term in a nonlinear evolution equation. Detailed estimates on remainders are provided.

<Para ID="Par1">An investor with constant relative risk aversion trades a safe and several risky assets with constant investment opportunities. For a small fixed transaction cost, levied on each trade regardless of its size, we explicitly determine the leading-order corrections to the frictionless value...</para>

The skew effect in market implied volatility can be reproduced by option pricing theory based on stochastic volatility models for the price of the underlying asset. Here we study the performance of the calibration of the S&P 500 implied volatility surface using the asymptotic pricing theory...

Fractional matrix operator methods are introduced as a new tool of distribution theory for use in multivariate analysis and econometrics. Earlier work by the author on this operational calculus is reviewed and to illustrate the use of these methods we give an exact distribution theory for a...

The CEV (constant elasticity of variance) and displaced diffusion processes have been posited as suitable alternatives to a lognormal process in modelling the dynamics of market variables such as stock prices and interest rates. Marris (1999) noted that, for a certain parameterization, option...

This discussion paper led to a publication in the <A href="http://www.sciencedirect.com/science/article/pii/S0304407605000618">'Journal of Econometrics'</A> 132(2), 409-44.<P>The finite sample behaviour is analysed of particular least squares (LS) andmethod of moments (MM) estimators in panel data models with individual effectsand both a lagged dependent variabIe regressor and...</p></a>

Short rates of interest are considered within in the term structure model of Eberlein-Raible [6] driven by a Lévy process. It is shown that they are Markovian if and only if the volatility function factorizes. This extends results of Caverhill [5] for the Wiener process and of Eberlein, Raible...

The payoff of many credit derivatives depends on the level of credit spreads. In particular, the payoff of credit derivatives with a leverage component is sensitive to jumps in the underlying credit spreads. In the framework of first passage time models we extend the model introduced in...

Starting with the liberalization of electricity trading, this market grew rapidly over the last decade. However, while spot and future markets are rather liquid nowadays, option trading is still limited. One of the potential reasons for this is that the spot price process of electricity is still...