Consistent Valuation Across Curves Using Pricing Kernels

SSRN Electronic Journal ◽

10.2139/ssrn.3102513 ◽

2018 ◽

Cited By ~ 1

Author(s):

Andrea Macrina ◽

Obeid Mahomed

Keyword(s):

Pricing Kernels

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Macroeconomic Variables, Pricing Kernels and Expected Default-Free and Defaultable Bond Returns

SSRN Electronic Journal ◽

10.2139/ssrn.1089862 ◽

2008 ◽

Cited By ~ 1

Author(s):

Ai-ru Meg Cheng ◽

Yuriy Kitsul

Keyword(s):

Macroeconomic Variables ◽

Defaultable Bond ◽

Bond Returns ◽

Pricing Kernels

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A New Approach to Estimating Interest Rate Option Pricing Kernels

SSRN Electronic Journal ◽

10.2139/ssrn.1341871 ◽

2009 ◽

Author(s):

Xiaoquan Liu ◽

Jing-Ming Kuo ◽

Jerry Coakley

Keyword(s):

Interest Rate ◽

Option Pricing ◽

New Approach ◽

Pricing Kernels

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Returns of Claims on the Upside and the Viability of U-Shaped Pricing Kernels

SSRN Electronic Journal ◽

10.2139/ssrn.1462543 ◽

2009 ◽

Author(s):

Gurdip S. Bakshi ◽

Dilip B. Madan ◽

George Panayotov

Keyword(s):

Pricing Kernels

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Pricing Kernels and Dynamic Portfolios

SSRN Electronic Journal ◽

10.2139/ssrn.302047 ◽

2002 ◽

Cited By ~ 4

Author(s):

Philippe Henrotte

Keyword(s):

Pricing Kernels

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Long-term factorization of affine pricing kernels

Mathematics and Financial Economics ◽

10.1007/s11579-017-0189-9 ◽

2017 ◽

Vol 11 (4) ◽

pp. 479-498 ◽

Cited By ~ 1

Author(s):

Likuan Qin ◽

Vadim Linetsky

Keyword(s):

Pricing Kernels

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Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns

The Journal of Finance ◽

10.1111/1540-6261.00425 ◽

2002 ◽

Vol 57 (1) ◽

pp. 369-403 ◽

Cited By ~ 477

Author(s):

Robert F. Dittmar

Keyword(s):

Cross Section ◽

Equity Returns ◽

Nonlinear Pricing ◽

The Cross ◽

Pricing Kernels

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Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence

SSRN Electronic Journal ◽

10.2139/ssrn.666164 ◽

2005 ◽

Author(s):

Fousseni Chabi-Yo

Keyword(s):

Higher Order ◽

Variance Bounds ◽

Higher Order Moments ◽

Conditioning Information ◽

Pricing Kernels

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The Market and Individual Pricing Kernels Under No Arbitrage Asset Pricing Models

New Methods in Fixed Income Modeling - Contributions to Management Science ◽

10.1007/978-3-319-95285-7_15 ◽

2018 ◽

pp. 263-297

Author(s):

Thomas F. Cosimano ◽

Jun Ma

Keyword(s):

Asset Pricing ◽

Pricing Models ◽

No Arbitrage ◽

Asset Pricing Models ◽

Pricing Kernels

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The Expectations and Pricing Kernels

Principles of Financial Economics ◽

10.1017/cbo9781139162272.019 ◽

2018 ◽

pp. 195-206

Keyword(s):

Pricing Kernels

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A Robust Variance Bound on Pricing Kernels

SSRN Electronic Journal ◽

10.2139/ssrn.2513193 ◽

2014 ◽

Author(s):

Haoxi Yang

Keyword(s):

Robust Variance ◽

Variance Bound ◽

Pricing Kernels

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