We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the …

's optimal mean-variance portfolio and the amount of unhedged risk prior to maturity. Solutions assuming the cases where the …

out some key issues on how the credit risk associated to these products can be reduced and, finally, in the last section …

This paper proposes a linear option pricing model by imposing common market pricing on decentralized risk exposure … breakeven contribution of each risk source. A cross-sectional regression of the options time decay on the risk estimates … options time decay. The common pricing estimate captures the pricing deviation of the risk source from its breakeven …

variations. We show that a hedged portfolio sorted on idiosyncratic diffusive risk yields a weekly return of -2.16%, suggesting … the existence of a low idiosyncratic risk anomaly. Subsequently, we examine possible explanations for this anomaly, and …

risk can transfer it to nancial markets via weather derivatives. We develop a utility-based model for pricing baskets of … weather derivatives in over-the-counter markets under counterparty default risk. In our model, agents maximise the expected …Weather derivatives are contingent claims with payo based on a pre-speci ed weather index. Firms exposed to weather …

model with heterogeneous agents, we reveal the existence of an extreme weather risk premium in the cross-section of stock …We examine if extreme weather exposure impacts firms’ cost of equity. Motivated by a consumption-based asset pricing … risk factors from standard asset pricing models nor by firm characteristics. Our results reveal a novel link between …