The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium framework in which expected endowment growth and economic...

Neural networks (NN) and fuzzy logic systems (FLS) are used successfully for financial forecasting, credit rating and portfolio management. In search for more sophisticated modeling techniques a mixture of NN and FLS has proved to be worth consideration. We propose the novel constructive...

The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diffusion process which accommodates leverage, feedback effects and multifactor for the covariance process. The paper gives the closed-form solution for the conditional and unconditional Laplace transform...