7 papers
This paper demonstrates that common shocks drive the tails of firm-level idiosyncratic return distributions, revealing a significant annual premium of 7–8% for stocks with high exposure to innovations in the lower-tail quantile factor, a risk that is amplified during periods of weak intermediary capital and low liquidity while also predicting aggregate market excess returns.
This paper demonstrates that currencies acting as major transmitters of volatility shocks earn lower excess returns, a predictable anomaly driven by spot exchange rate movements and explained by a general equilibrium model where such transmission proxies for priced country-specific risk.
This paper establishes robust upper and lower bounds for life insurance functionals under two distinct mortality assumptions—one requiring almost sure consistency and the other allowing for expected deviations with life table constraints—to quantify the impact of fractional age uncertainty on contract valuations without relying on specific parametric models.
This paper provides a comprehensive definition and complete implementation guide for a time-dependent SABR-type Libor Market Model (SABR/LMM) designed to flexibly match the volatility skew and smile of interest rate derivatives, addressing the practical limitations of existing models in global banking.
This paper analyzes an optimal stopping problem with a discontinuous reward function motivated by variable annuity pricing, establishing conditions under which surrender occurs only at maturity and deriving new analytical representations for the value function and surrender region based on fee and surrender charge structures.
This paper provides a detailed exposition of various single-name CDS options, including recovery options and swaps, while presenting a new index option formula that prioritizes the use of the Black-76 model for consistency across asset classes and treats "armageddon events" as non-special cases.
This paper establishes a general cross-currency Heath-Jarrow-Morton framework within a multiple-curve setting that incorporates collateralization, arbitrary market indices, and instantaneous basis spreads to simultaneously model both forward-looking IBOR and backward-looking overnight rates for multi-currency interest rate portfolios.