This paper presents a general theory that works out the relation between coherent risk measures, valuation bounds, and … theory presented seems to fill a gap between arbitrage valuation on the one hand and single agent utility maximization or … full-fledged equilibrium theory on the other hand. "Coherent" valuation bounds strike a balance in that the bounds can be …

Multivariate Volatility Models belong to the class of nonlinear models for financial data. Here we want to focus on …

In this paper we study new nonlinear GARCH models mainly designed for time series with highly persistent volatility …. For such series, conventional GARCH models have often proved unsatisfactory because they tend to exaggerate volatility … persistence and exhibit poor forecasting ability. Our main emphasis is on models that are similar to previously introduced smooth …

We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions …

volatility measures performs best for most series. To facilitate the interpretation of the results, we plot impulse response … functions of the risk premia. -- impulse response analysis ; Market price of risk ; Multivariate GARCH-Models ; CAPM …

maturities and moneyness dimension is neglected. In this paper we propose to estimate the implied volatility surface at each … point in time nonparametrically and to analyze the implied volatility surface slice by slice with a common principal … study a p variate random vector of k groups, say the "volatility smile" at p different grid points of moneyness for k …