The Annals of Applied Probability, Vol. 26, No. 2 (April 2016), pp. 794-817 (24 pages) We consider a financial model where the prices of risky assets are quoted by a representative market maker who ...

This article describes three approximation methods I used to solve the growth model (Model 1) studied by the National Bureau of Economic Research's nonlinear rational-expectations-modeling group ...

Fitting SPX and Vix smiles simultaneously is one of the most challenging problems in volatility modelling. A long-standing conjecture is that it may not be possible to jointly calibrate these two ...