This research addresses the estimation of measures of rare disaster concerns from option prices. We propose a new smile construction approach to obtain the required continuum of implied volatilities from discretely sampled observations that are affected by microstructure noise. We extrapolate...

We propose a Wishart Affine Stochastic Correlation (WASC) model for the joint dynamics of the SDF in an international economy. We derive exchange rate dynamics and a quasi-closed-form solution for currency option pricing. This solution includes Heston's stochastic volatility model as a special...

This paper analyzes stock returns before and during the 2016 US presidential election. This election stands out because both nominees Clinton and Trump were frequently characterized to have very different profiles and the outcome was considered as a major surprise. We explore whether the stock...