This paper presents a new asset pricing model incorporating fundamental uncertainties by
choice of a probability measure. This approach is novel in that we incorporate uncertainties …

In this paper, we implement a stochastic deflator with five economic and financial risk factors:
interest rates, market price of risk, stock prices, default intensities, and convenience yields …

Equity options are the most common types of financial derivatives that give an investor the
right but not the obligation to buy or sell shares of stock at a given price in the future for a …

Through financial derivatives we can extract valuable information when we are analyzing
the investor's expectations and their reactions to already experienced shocks, as well as the …

This short paper is intended to demonstrate a crucial omission made by traders in setting the
risk-free interest rate, especially in times of crisis: instead of increasing the risk-free rate …

Implicit in interest rate derivatives are Arrow–Debreu prices (or state price densities, SPDs)
that contain funda-mental information for risk and portfolio management in interest rate …

Implicit in interest rate derivatives are Arrow–Debreu prices (or state price densities, SPDs)
that contain fundamental information for risk and portfolio management in interest rate …

We study equity (EVRP) and Treasury variance risk premia (TVRP) jointly and document a
number of findings: First, relative to their volatility, TVRP are comparable in magnitude to …

Bond prices and fixed-income derivatives intricately depend on the ever-evolving landscape
of interest rates. This study introduces an exceptionally efficient semi-analytical pricing …

In this paper, we study the pricing of contracts in fixed income markets under volatility
uncertainty in the sense of Knightian uncertainty or model uncertainty. The starting point is …