This paper considers the measurement of the equity risk premium in financial markets from a new perspective that picks up on a suggestion from Merton (1980) to use implied volatility of options on a market portfolio as a direct ‘ex-ante’ estimate for market variance, and hence the risk...

We consider a market where the price of the risky asset follows a stochastic volatility model, but can be observed only at discrete random time points. We determine a local risk minimizing hedging strategy, assuming that the information of the agent is restricted to the observations of the price...

We consider a market where the price of the risky asset follows a stochastic volatility model, but can be observed only at discrete random time points. We determine a local risk minimizing hedging strategy, assuming that the information of the agent is restricted to the observations of the price...

We study an insurance model where the risk can be controlled by reinsurance and investment in the financial market. We consider a finite planning horizon where the timing of the events, namely the arrivals of a claim and the change of the price of the underlying asset(s), corresponds to a...

We consider a family of processes (X[var epsilon], Y[var epsilon]) where X[var epsilon] = (X[var epsilon]t) is unobservable, while Y[var epsilon] = (Y[var epsilon]t) is observable. The family is given by a model that is nonlinear in the observations, has coefficients that may be rapidly...

We consider a reduced-form credit risk model where default intensities and interest rate are functions of a not fully observable Markovian factor process, thereby introducing an information-driven default contagion effect among defaults of different issuers. We determine arbitrage-free prices of...