This paper studies the restrictions on consumption, portfolio choice, and social discounting implied by a sustainability constraint, that utility should not be expected to decline over time, in an economy with risky investment opportunities. The sustainability constraint does not distort...

We view sustainability as a requirement that welfare should not be expected to decline over time. We impose this requirement as a prior constraint on the consumption-savings-investment problem, and study its implications for saving, risky investment, and the social discount rate. The constraint...

We investigate whether a model with time-varying probability of economic disaster can explain prices of collateralized debt obligations. We focus on senior tranches of the CDX, an index of credit default swaps on investment grade firms. These assets do not incur losses until a large fraction of...

We investigate whether a model with a time-varying probability of economic disaster can explain the pricing of collateralized debt obligations, both prior to and during the 2008-2009 financial crisis. Namely, we examine the pricing of tranches on the CDX, an index of credit default swaps on...

Slepian and Sudakov-Fernique type inequalities, which compare expectations of maxima of Gaussian random vectors under certain restrictions on the covariance matrices, play an important role in probability theory, especially in empirical process and extreme value theories. Here we give explicit...

Relatively little is known about the empirical performance of infinite-activity Levy jump models, especially with non-affine volatility dynamics. We use extensive empirical data sets to study how infinite-activity Variance Gamma and Normal Inverse Gaussian jumps with affine and non-affine...

We investigate whether a model with a time-varying probability of economic disaster can explain the pricing of collateralized debt obligations, both prior to and during the 2008-2009 financial crisis. Namely, we examine the pricing of tranches on the CDX, an index of credit default swaps on...

Pricing and hedging life insurance contracts with minimum guarantees are major areas of concern for insurers and researchers. In this paper, we propose a unified framework for pricing, hedging, and assessing the risk embedded in the guarantees offered by Variable Annuities in a Lévy market. We...

We develop a dynamic multivariate default model for a portfolio of credit-risky assets in which default times are modelled as random variables with possibly different marginal distributions, and Lévy subordinators are used to model the dependence among default times. In particular, we define a...

Slepian and Sudakov-Fernique type inequalities, which com- pare expectations of maxima of Gaussian random vectors under certain restrictions on the covariance matrices, play an important role in probability theory, especially in empirical process and extreme value theories. Here we give explicit...

This monograph presents a novel numerical approach to solving partial integro-differential equations arising in asset pricing models with jumps, which greatly exceeds the efficiency of existing approaches. The method, based on pseudo-differential operators and several original contributions to...

We introduce the model of Stochastic Revision Games where a finite set of players control a state variable and receive payoffs as a function of the state at a terminal deadline. There is a Poisson clock which dictates when players are called to choose of revise their actions. This paper studies...