We show that the compensation for rare events accounts for a large fraction of the average
equity and variance risk premia. Exploiting the special structure of the jump tails and the …

ABSTRACT I construct an equilibrium model that captures salient properties of index option
prices, equity returns, variance, and the risk‐free rate. A representative investor makes …

This comprehensive reference delivers a toolkit for harvesting market rewards from a wide
range of investments. Written by a world-renowned industry expert, the reference discusses …

We analyze the behavior of over-the-counter currency option prices across moneyness,
maturity, and calendar time on two of the most actively traded currency pairs over the past …

We analyze the specifications of option pricing models based on time‐changed Lévy
processes. We classify option pricing models based on the structure of the jump component …

This paper reports some of the recent developments in the econometric analysis of
semimartingales estimated using high frequency financial returns. It describes a simple yet …

Lévy processes can capture the behaviors of return innovations on a full range of financial
securities. Applying stochastic time changes to the Lévy processes randomizes the clock on …

The recently developed Bitcoin futures and options contracts in cryptocurrency derivatives
exchanges mark the beginning of a new era in Bitcoin price risk hedging. The need for these …

When the pricing kernel is U-shaped, then expected returns of claims with payout on the
upside are negative for strikes beyond a threshold, determined by the slope of the U-shaped …

We develop models of stochastic discount factors in international economies that produce
stochastic risk premiums and stochastic skewness in currency options. We estimate the …