In a discrete time option pricing framework, we compare the empirical performance of two pricing methodologies, namely the affine stochastic discount factor (SDF) and the empirical martingale correction methodologies. Using a CAC 40 options dataset, the differences are found to be small: the...

Let (Xt), be valued stochastic process defined by a discrete time dynamical system as Xt = [phi](Xt-1, T = 1,2,..., where [phi] is some nonlinear function preserving a probability measure say [mu], we estimate [phi] and the density -f of [mu] without using special condition on the analytical...

The classical Taylor rules usually do not yield the same estimation error when working in a monthly or a quarterly framework. This brings us to the conclusion that there must be something that monthly Taylor rules can capture and that the quarterly one cannot: we postulate that it simply boils...

US interest rates’ overnight reaction to macroeconomic announcements is of tremendous importance when trading fixed income securities. Most of the empirical studies achieved so far either assumed that the interest rates’ reaction to announcements is linear or independent to the state of the...