We provide evidence supporting Rubinstein's (1973) model that if returns are not normal, measuring risk requires more than just measuring covariance. Higher order systematic co-moments should be important to risk-averse investors who are concerned about the extreme outcomes of their investments....

In this paper we study a conditional version of the Wang transform in the context of discrete GARCH models and their diffusion limits. Our first contribution shows that the conditional Wang transform and Duan's generalized local risk-neutral valuation relationship based on equilibrium...

In this paper, we derive fully explicit closed-form expressions for the fair strike prices of discrete-time variance swaps under general affine GARCH type models that have been risk-neutralized with a family of variance dependent pricing kernels. The methodology relies on solving differential...