It is common in the financial mathematics literature to start by fixing a probability space $(\Omega,\mathcal F,\mathbb P)$, on which the underlying price process is defined. We depart from this route in that we do not fix the prior $\mathbb P$. Under very general assumptions, we recover the...

The use of dictionaries in financial sentiment analysis and other financial and economic applications remains widespread because keyword-based methods appear more transparent and explainable than more advanced techniques commonly used in computer science. However, this paper demonstrates the...

Risk and return play a central role in financial theory. Return is easily measurable and is a percentage number indicating by how much the value of an investment or asset has changed from the previous period. But how should risk be measured? Over longer holding periods, return generation is...

We study the impact of economic policy uncertainty on the term structure of nominal interest rates. We develop a general equilibrium model, in which both the government and the central bank policy decisions are driven by uncertainty shocks. Our affine yield curve model captures both the shape of...