Brunel University London - School of Information Systems, Computing and Mathematics
Pricing Kernel, Market Information, Noise, Risk Premium, Financial Bubble
lévy processes, asset pricing, risk premium, risk aversion, Siegel's paradox
Interest rate models, Dybvig-Ingersoll-Ross theorem, long rate, social discounting, pricing kernel, hyperbolic discount function, declining discount rate
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interest rate models, Dybvig–Ingersoll–Ross theorem, long rate, social discounting, pricing kernel, hyperbolic discount function, declining discount rate
Asset pricing, partial information, stochastic volatility, correlation, dividend growth, Brownian bridge, nonlinear filtering, market microstructure
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