In this paper, we develop alternative models to price derivative securities when the underlying asset may be subject to jumps. These models allow for two kinds of jumps: scheduled jumps which are caused by information for which the disclosure data is known in advance (e.g. earnings...

This paper tests a traditional model of asset pricing, the CCAPM (Consumption Capital Asset Pricing Model), using data from the Spanish stock market. A generalized calibration method is used to test this model. This method allows us to judge the degree of correspondance between the population...

We study asset allocation when the conditional moments of returns are partly predictable.