Market price of risk speci-fications for a ne models: theory and evidence

By Patrick Cheridito, Damir Filipovi'c, Robert L. Kimmel. 2006

212 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/1f0b7ec097e512e7c0f604d374a8654b5928e0d1

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Citations in the corpus

Restructuring Risk in Credit Default Swaps: An Empirical Analysis (2007, background): “However, Cheridito, Filipović, and Kimmel (2004) show the existence of the equivalent martingale measure P̃ (hence the absence of arbitrage) under this more general market price of risk specification if the boundary non-attainment condition holds under the measure P̃ (i.e. ã ≥ σ2 2 ).”
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models (2010, unknown): “Hence, the restrictions remain valid for the generalization to the ‘completely affine’ class proposed by Duffee (2002) and they also cover models which allow for a more general nonaffine drift under the physical measure, as proposed by Duarte (2004) and further analyzed in Cheridito et al. (2005). T”
Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions (2012, background): “Theoretically more general risk premium specifications, as discussed in Cheridito et al. (2007), are possible.”
A Tractable Framework for Zero-Lower-Bound Gaussian Term Structure Models (2013, unknown): “Also see Cheridito, Filipovíc, and Kimmel (2007) for further discussion on market price of risk speci cations.”
Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective (2010, unknown): “The fact that none of the model with time-varying volatility is superior to those with constant volatility is consistent with the ndings of Du¤ee (2002) and Cheridito et al. (2007).”
Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives (2009, methodology): “…in the data set are American, whereas our pricing formula 24We have also estimated the model with the “extended affine” specification suggested by Cheredito, Filipovic, and Kimmel (2003) and Collin-Dufresne, Goldstein, and Jones (2003) and given by Λi(t) = λi0 + λiss(t) + λixx(t) +…”
STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS (2013, methodology): “Further, as explained by Feller 5 It is unclear whether with this choice of λ(V, t), the Novikov criteria is satisfied, but as shown by Cheridito, Filipovic, and Kimmel (2007), arbitrage-free models can be constructed by ensuring boundary nonattainment conditions are satisfied under both real and…”
A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives (2009, unknown): “We apply the flexible “extended affine” market price of risk specification proposed by Cheredito, Filipovic, and Kimmel (2007) , which implies that the state vector also follows an affine diffusion process under the actual probability measure and facilitates the application of standard econometric ”
Understanding Index Option Returns (2009, background): “Both the parameters θv and κv can potentially change under the risk-neutral measure ( Cheredito, Filipovic, and Kimmel 2007 ).”
Estimating affine multifactor term structure models using closed-form likelihood expansions (2010, unknown): “The affine class of models has been studied extensively by Dai and Singleton (2000). They show the existence of N+1 distinct non-nested families of affine models with N state variables, M of which enter the diffusion matrix; we use the notation AM(N) with 0rMrN to identify each family of models.”