This paper surveys the field of asset pricing. The emphasis is on the interplay between
theory and empirical work and on the trade‐off between risk and return. Modern research …

Publisher Summary The class of stochastic volatility (SV) models has its roots in both,
mathematical finance and financial econometrics. In fact, several variations of SV models …

We develop a dynamic asset pricing model of cryptocurrencies/tokens that allow users to
conduct peer-to-peer transactions on digital platforms. The equilibrium price of tokens is …

Managed portfolios that take less risk when volatility is high produce large alphas, increase
Sharpe ratios, and produce large utility gains for mean‐variance investors. We document …

Written by world experts in the foundations of quantum mechanics and its applications to
social science, this book shows how elementary quantum mechanical principles can be …

This article studies the full equilibrium dynamics of an economy with financial frictions. Due
to highly nonlinear amplification effects, the economy is prone to instability and occasionally …

Nonsmooth nonconvex optimization problems broadly emerge in machine learning and
business decision making, whereas two core challenges impede the development of …

The third edition of this popular introduction to the classical underpinnings of the
mathematics behind finance continues to combine sound mathematical principles with …

A complete resource for finance students, this textbook presents the most common empirical
approaches in finance in a comprehensive and well-illustrated manner that shows how …

This book is an ambitious effort by three well-known and well-respected scholars to fill an
acknowledged void in the literature—a text covering the burgeoning field of empirical …