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AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS
16 references·16 citing·34 second hopsampled
AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS (2008)AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE …The Econometrics of Financial Markets (2012)The Econometrics of Financial…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…Option valuation using the fast Fourier transform (1999)Option valuation using the fa…The Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Stock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The equity premium: A puzzle (1985)The equity premium: A puzzleVolatility-of-Volatility Risk (2018)Volatility-of-Volatility RiskPockets of Predictability (2018)Pockets of PredictabilityHigher Order Effects in Asset Pricing Models with Long‐Run Risks (2018)Higher Order Effects in Asset…Gold, platinum, and expected stock returns (2018)Gold, platinum, and expected …Explaining the negative returns to volatility claims: An equilibrium approach (2017)Explaining the negative retur…Disaster recovery and the term structure of dividend strips (2016)Disaster recovery and the ter…Modeling Credit Contagion via the Updating of Fragile Beliefs (2015)Modeling Credit Contagion via…Sources of Entropy in Representative Agent Models (2013)Sources of Entropy in Represe…Ambiguous volatility, possibility and utility in continuous time (2013)Ambiguous volatility, possibi…Volatility in Equilibrium: Asymmetries and Dynamic Dependencies (2011)Volatility in Equilibrium: As…Learning and Asset-price Jumps (2011)Learning and Asset-price JumpsLong Run Risks, the Macroeconomy, and Asset Prices (2010)Long Run Risks, the Macroecon…Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash (2010)Explaining Asset Pricing Puzz…Confidence Risk and Asset Prices (2010)Confidence Risk and Asset Pri…What's Vol Got to Do With It (2008)What's Vol Got to Do With ItAffine General Equilibrium Models (2008)Affine General Equilibrium Mo…Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)Dynamic Asset Pricing Theory. (1993)Investor Psychology and Asset Pricing (2001)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)The Cross‐Section of Volatility and Expected Returns (2006)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)… and the Cross-Section of Expected Returns (2015)Measuring and Testing the Impact of News on Volatility (1993)Theory of rational option pricing (2005)Introductory Econometrics for Finance (2008)An Intertemporal Capital Asset Pricing Model (1973)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)An equilibrium characterization of the term structure (1977)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

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1,801 cited
  • 1998The Variance Gamma Process and Option Pricing1,786 cited
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    • 2018Pockets of Predictability134 cited
    • 2018Higher Order Effects in Asset Pricing Models with Long‐Run Risks125 cited
    • 2011Volatility in Equilibrium: Asymmetries and Dynamic Dependencies114 cited
    • 2008What's Vol Got to Do With It114 cited
    • 2018Volatility-of-Volatility Risk108 cited
    • 2017Explaining the negative returns to volatility claims: An equilibrium approach93 cited
    • 2008Affine General Equilibrium Models90 cited
    • 2010Confidence Risk and Asset Prices89 cited
    • 2010Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash87 cited
    • 2015Modeling Credit Contagion via the Updating of Fragile Beliefs85 cited
    • 2016Disaster recovery and the term structure of dividend strips81 cited
    • 2011Learning and Asset-price Jumps79 cited