In this paper, we provided a unifying analysis of latent variable models in finance through the concept of stochastic discount factor (SDF).

We startd out this paper with a list of Facts that financial theorizing should attempt to explain. We discussed the Facts in enough detail so that the reader can appreciate the caution one needs to display while interpreting evidence form financial databases.

In this paper, we characterize the asymmetric of the smile through multiple leverage effects in a stochastic dynamic asset pricing framework.

This assesses the empirical performance of an intertemporal option pricing model with latent variables with generalized the Hull-White stochastic volatility formula.

This paper suggests a general approach to testing dynamic models by approximating the true asset pricing kernel directly using orthonormal polynominals.

This paper presents an empirical test of Dupire's (1993) option price inversion approach using FT-SE 100 index options.

The main objective of this paper is to propose an alternative valuation framework for pricing foreign currency and cross-currency options, which is capable of accommodating existing empirical regularities. The paper generalizes the GARCH option princing methodology of Duan (1995) to a...

Third-party access to major infrastructure facilities is a key component of National Competition Policy. In many situations, both through states regimes and access undertakings under the new part IIIA of the Trade Practices Act, access will be governed by explicit or implicit rate-of-return...

By deriving the implied dividend growth rate from earnings growth rates, the method of Donaldson and Kamstra [1996] is extended to provide formal fundamentals valuation fo firms that pay out no dividends. No previous work known to me has succeeded in providing formal fundamentals valuation for...