The importance of tail risk for asset pricing has been widely recognized in the literature and
extensively studied for equity markets empirically. We construct one of the first model-free …

We investigate systematically the presence of jumps and the pricing of jump risk in interest
rates and interest rate derivatives. We develop a dynamic term structure model with …

Three essays are included in this dissertation. The first essay starts with the fundamental
assumption underlying most existing dynamic term structure models that bonds and interest …

We investigate the interaction of volatility smiles and liquidity in the euro (€) interest rate
option markets, using daily bid and ask prices of interest rate caps/floors. We find that …

There are conflicting views in the literature on whether bonds span interest rate derivatives.
While Heidari and Wu (2003) and Collin-Dufresne and Goldstein (2002a) argue that there …

We provide a comprehensive empirical analysis of several generalized affine models with
unspanned stochastic volatility and stochastic correlation. Unspanned stochastic volatility …

In this paper we study a LIBOR market model with a volatility multiplier, which follows a
square-root process. This model captures downward volatility skews through using negative …

本文考虑短期利率满足一类仿射跳扩散期限结构模型的利率衍生品定价. 应用Fourier
变换方法和远期测度技术, 获到了零息票债券及基于零息票债券为标的资产的欧式债券期权价格 …

This dissertation develops efficient lattice procedures for pricing American options under
stochastic volatility models, and stochastic volatility models extended with jumps in asset …

We investigate systematically the presence of jumps and the pricing of jump risk in interest
rates and interest rate derivatives. We develop a dynamic term structure model with …