New York, NY 10027
Columbia Business School - Finance and Economics
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Learning, predictability, optimal portfolio formation
put pricing puzzle, option returns, jump-diffusion models, risk premia
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File name: DP6239.
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jump risk premia, jump-diffusion models, options returns, put pricing puzzle
Jumps, Stochastic Volatility, Continuous-Time Econometrics, Option Pricing, Market Stress
Collateral, Interest Rate Swaps, Default
Sequential learning, filtering, stochastic volatility, Kalman filter
Filtering, Stochastic Differential Equations, Jumps, Option Pricing, Volatility
Quantile, LAD, Particle Filtering, Particle Learning, Bayes Factor
Monte Carlo, Particle Filtering, Particle Learning, Nonlinear State Space Model, Slice Variable
C11, C13, C15, C51, C52, G11, G12, G17
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