Publisher Summary The stochastic discount factor methodology is the central tool in finance
to price assets and provides a natural framework to integrate contributions in discrete and …

This paper provides clear‐cut evidence that the out‐of‐sample VaR (value‐at‐risk)
forecasting performance of alternative parametric volatility models, like EGARCH …

In this paper we explore important implications of capturing volatility risk premium (VRP)
within a parametric GARCH setting. We study the transmission mechanism of shocks from …

We consider the problems of derivative pricing and inference when the stochastic discount
factor has an exponential-affine form and the geometric return of the underlying asset has a …

Die vorliegende Arbeit beschäftigt sich mit dem im Jahr 2005 europaweit gestarteten
Emissionshandelssystem für CO2 im Hinblick auf seine Besonderheiten als zusätzlicher …

This article investigates the use of a regime-switching model of returns for the asset
allocation decision of a fund of hedge funds. In each time period, returns follow a multi …

This paper builds a novel multi-criteria, non-parametric classification framework in order to
improve the accuracy of pricing European options. The proposed approach is based on …

This paper develops a valuation framework for a perpetual American call option when the
underlying asset return dynamic is modelled by a regime switching process. In particular …

Based on a large set of transactions data for Eurex DAX and Euro-Bund-Future options, this
paper addresses the informational content of option-implied volatility, skewness, and …

In this paper we develop a discrete-time pricing model for European options where the log-
return of the underlying asset is subject to discontinuous regime shifts in its mean and/or …