Analytical tractability is one of the challenges faced by many alternative models that try to
generalize the Black-Scholes option pricing model to incorporate more empirical features …

This paper analyzes the role of jumps in continuous‐time short rate models. I first develop a
test to detect jump‐induced misspecification and, using Treasury bill rates, find evidence for …

That information surprises result in discontinuous interest rates is no surprise to participants
in the bond markets. We develop a class of Poisson–Gaussian models of the Fed Funds rate …

We extend and unify Fourier-analytic methods for pricing a wide class of options on any
underlying state variable whose characteristic function is known. In this general setting, we …

Written by one of the leading experts in the field, this book focuses on the interplay between
model specification, data collection, and econometric testing of dynamic asset pricing …

We develop a nonparametric specification test for continuous-time models using the
transition density. Using a data transform and correcting for the boundary bias of kernel …

This article is a critical survey of models designed for pricing fixed-income securities and
their associated term structures of market yields. Our primary focus is on the interplay …

This paper derives a methodology for the estimation of continuous-time stochastic models
based on the characteristic function. The estimation method does not require discretization …

I analyze the optimal intertemporal portfolio problem of an investor who worries about model
misspecification and insists on robust decision rules when facing a mean-reverting risk …

We provide novel evidence for an equilibrium link between investors' disagreement, the
market price of volatility and correlation, and the differential pricing of index and individual …