We propose and estimate a new class of equity return models that incorporate scale mixtures of the skew-normal distribution for the error distribution into the standard stochastic volatility framework. The main advantage of our models is that they can simultaneously accommodate the skewness,...

We present a comprehensive analysis to calculate the Basel III liquidity coverage ratio (LCR) and the net stable funding ratio (NSFR) of U.S. commercial banks using Call Report data over the period 2001–2011, and provide indirect empirical evidence on net cash outflow rates of certain...

In this paper, we propose an alternative approach for pricing and hedging non-standard American options. In principle, the proposed approach applies to any kind of American-style contract for which the payoff function has a Markovian representation in the state space. Specifically, we obtain an...

The forward measure is convenient in calculating various contingent claim prices under stochastic interest rates. We demonstrate that caution needs to be drawn when the forward measure is used to price contingent claims that involve multiple cash flows. We also derive partial different equations...

We consider the stochastic volatility model with regime switching. We model the unobserved regimesas a continuous-time latent or hidden Markov chain, with exponential waiting times. This allows us to identify the hidden regimes and compare the posterior probability of changes in regimes with...

Mixture models provide a convenient and flexible class of models for density estimation. They are typically used to model data generated from one of a number of different groups. This thesis studies two types of mixture models for density estimation from a Bayesian perspective. First, the...