In this paper, we provide a new dynamic asset pricing model for plain vanilla options and we discuss its ability to produce minimum mispricing errors on equity option books. The data set is the daily log returns of the French CAC 40 index, on the period January 2, October 26, 2007. Under the...

The Generalized Inverse Gaussian (GIG) distribution has found many interesting applications; see Jørgensen  [24]. This rich family includes some well-known distributions, such as the inverse Gaussian, gamma and exponential, as special cases. These distributions have been used as the mixing...

In this paper, we develop the idea that firm sizes evolve as log Brownian motions dSt = St(σdWt + μdt) where the constants μ, σ are characteristics of the firm, chosen from some distribution, and that the firms are wound up at some random time. At any given time, we see a firm of a given...

In this paper, we introduce a new approach to estimate the subjective distribution of the future short rate from the historical dynamics of futures, based on a model generated by a Normal Inverse Gaussian distribution, with dynamical parameters. The model displays time varying conditional...

The aim of this paper is to document some empirical facts related to log-returns of diversified world stock indices when these are denominated in different currencies. Motivated by earlier results, we have obtained the estimated distribution of log-returns for a range of world stock indices over...