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University of Lugano - Institute of Finance
Swiss Finance Institute
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low risk anomaly, coskewness, skewness, risk premia, equity options
Low risk anomaly, skewness, credit risk, risk premia, equity options
skew risk premium, variance risk premium, index options
Skew, Variance Swap, Realized Variance, Trading Strategy, Disaster, Robust, Jumps
Pricing Kernel, Model-Free, Projection, Risk Premia, Moments, Recovery Theorem, Trading Strategy
term structure, exchange rates, forward bias, predictability
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exchange rates, forward bias, predictability, term structure
Preference trading, pricing kernel, model risk, trading strategy, model-free, variance premium, equity premium, skew premium, kurtosis premium.
Predictability, pricing kernel, model risk, trading strategy, model-free, variance premium, skew premium, kurtosispremium
equity premium, model-free, risk aversion, skewness, signal processing
Affine Processes, Asymptotic Expansion, Density Approximation, Orthogonal Polynomials
term structure of interest rates, expectations hypothesis, affine models, risk premia, statistical predictability, economic value
credit default swaps, credit risk, loss given default, stochastic intensity, jump-diffusion, Markov chain Monte Carlo estimation
divergence, risk premia, information theory, dispersion, options
Recovery, sentiment, market views, agent heterogeneity, volatility trading, market spanning, disagreement, beliefs
stochastic discount factor, residual mispricing, financial uncertainty, exchange rates, economically constrained machine learning.
Credit risk, Liquidity risk, Duffie/Singleton framework, Markov Chain Monte Carlo estimation, Density approximation
skewness premium, jump risk, index options, high-frequency data, VIX
Estimation, Markov Chain Monte Carlo, maximum likelihood, latent diffusion
uncertainty, option trading, ambiguity
Ross recovery, monotonic SDF, options, dimension reduction, factor model, scenario analysis, machine learning.
risk premia, diffusion processes, forecasting
Multivariate Nonlinear Diffusion, Estimation, MCMC
credit default swap, structural model, default boundary, the Green function, calibration
ambiguity, equilibrium, asset pricing
Maximum likelihood, global optimization, non-linear diffusion, EM algorithm, estimation
Likelihood ratio, positive polynomial, Reproducing Kernel Hilbert Space (RKHS)