The paper examines a market for a stock, discount bonds of all maturities, and European calls of all strikes and all maturities on the stock. The implied volatility of a call in this market is a function, of our choice, of time to maturity and monyness that does not change over time. Our paper...

Improving farm productivity is often touted as essential for the future prospects of Australian agriculture, particularly for the export-oriented broadacre farm sector. This paper draws on farm panel data for the period 2002 to 2011. The annual components of productivity of the same group of 223...

Volatility models of the market portfolio's return are central to financial risk management. Within an equilibrium framework, we introduce an implementation method and study two families of such models. One is deterministic volatility, represented by current popular models. Another is in the...