In this paper, we provide several theoretically relevant and empirically significant
improvements to the general affine realized volatility (GARV) model of Christoffersen et …

This paper proposes a unified framework for measuring and managing longevity risk.
Specifically, we develop a flexible framework for valuing survivor derivatives like forwards …

Chapter written for the Handbook of Volatility Models and their Applications, edited by Luc
Bauwens, Christian Hafner, and Sébastien Laurent, forthcoming in 2012 (John Wiley & …

A new multivariate time series model with various attractive properties is motivated and
studied. By extending the CCC model in several ways, it allows for all the primary stylized …

This paper introduces a class of Affine multivariate GARCH models. Our setting offers
flexibility to accommodate stylized facts of asset returns like dynamic conditional correlation …

Efficiently exploiting the volatility information contained in price variations is important for
pricing options and other derivatives. In this study, we develop a new and flexible option …

We develop portfolio optimization problems for a nonlife insurance company seeking to find
the minimum capital required that simultaneously satisfies solvency and portfolio …

This paper demonstrates how to value American interest rate options under the jump-
extended constant-elasticity-of-variance (CEV) models. We consider both exponential jumps …

We derive methods for risk-neutral pricing of multi-asset options, when log-returns jointly
follow a multivariate tempered stable distribution. These lead to processes that are more …

This paper develops a fully-fledged statistical arbitrage strategy based on a mean-reverting
jump–diffusion model and applies it to high-frequency data of the S&P 500 constituents from …