Springer series in statistics

P Bickel, P Diggle, S Fienberg, U Gather, I Olkin… - New York, 2009 - Springer
The idea for this book came from the time the authors spent at the Statistics and Applied
Mathematical Sciences Institute (SAMSI) in Research Triangle Park in North Carolina …

Anniversary article: Option pricing: Valuation models and applications

M Broadie, JB Detemple - Management science, 2004 - pubsonline.informs.org
This paper surveys the literature on option pricing from its origins to the present. An
extensive review of valuation methods for European-and American-style claims is provided …

Variance risk premiums

P Carr, L Wu - The Review of Financial Studies, 2009 - academic.oup.com
We propose a direct and robust method for quantifying the variance risk premium on
financial assets. We show that the risk-neutral expected value of return variance, also known …

Maximum likelihood estimation of discretely sampled diffusions: a closed‐form approximation approach

Y Aït‐Sahalia - Econometrica, 2002 - Wiley Online Library
When a continuous‐time diffusion is observed only at discrete dates, in most cases the
transition distribution and hence the likelihood function of the observations is not explicitly …

Recovering risk aversion from option prices and realized returns

JC Jackwerth - The Review of Financial Studies, 2000 - academic.oup.com
A relationship exists between aggregate risk-neutral and subjective probability distributions
and risk aversion functions. We empirically derive risk aversion functions implied by options …

[BOOK][B] Simulation and inference for stochastic differential equations: with R examples

SM Iacus - 2008 - Springer
Stochastic di? erential equations model stochastic evolution as time evolves. These models
have a variety of applications in many disciplines and emerge naturally in the study of many …

Dynamic mean-variance asset allocation

S Basak, G Chabakauri - The Review of Financial Studies, 2010 - academic.oup.com
We solve the dynamic mean-variance portfolio problem and derive its time-consistent
solution using dynamic programming. Previous literature, in contrast, only determines either …

The dynamics of stochastic volatility: evidence from underlying and options markets

CS Jones - Journal of econometrics, 2003 - Elsevier
This paper proposes and estimates a more general parametric stochastic variance model of
equity index returns than has been previously considered using data from both underlying …

Transition densities for interest rate and other nonlinear diffusions

Y Aït‐Sahalia - The journal of finance, 1999 - Wiley Online Library
This paper applies to interest rate models the theoretical method developed in Aït‐Sahalia
(1998) to generate accurate closed‐form approximations to the transition function of an …

Time-averaging and nonergodicity of reset geometric Brownian motion with drift

D Vinod, AG Cherstvy, R Metzler, IM Sokolov - Physical Review E, 2022 - APS
How do near-bankruptcy events in the past affect the dynamics of stock-market prices in the
future? Specifically, what are the long-time properties of a time-local exponential growth of …