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This book mainly addresses the general equilibrium asset pricing method in two aspects: option pricing and variance risk premium. First, volatility smile and smirk is the famous puzzle in option pricing. Different from no arbitrage method, this book applies the general equilibrium approach in explaining the puzzle. In the presence of jump, investors impose more weights on the jump risk than the volatility risk, and as a result, investors require more jump risk premium which generates a pronounced volatility smirk. Second, based on the general equilibrium framework, this book proposes variance risk premium and empirically tests its predictive power for international stock market returns.

Securities --- Prices --- Mathematical models. --- Finance. --- Finance, Public. --- Economic theory. --- Macroeconomics. --- Public Finance. --- Macroeconomics/Monetary Economics//Financial Economics. --- Economic Theory/Quantitative Economics/Mathematical Methods. --- Economic theory --- Political economy --- Social sciences --- Economic man --- Economics --- Cameralistics --- Public finance --- Currency question --- Public finances

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Information storage and retrieval systems. --- Expert systems (Computer science) --- Artificial intelligence. --- AI (Artificial intelligence) --- Artificial thinking --- Electronic brains --- Intellectronics --- Intelligence, Artificial --- Intelligent machines --- Machine intelligence --- Thinking, Artificial --- Bionics --- Cognitive science --- Digital computer simulation --- Electronic data processing --- Logic machines --- Machine theory --- Self-organizing systems --- Simulation methods --- Fifth generation computers --- Neural computers --- Knowledge-based systems (Computer science) --- Systems, Expert (Computer science) --- Artificial intelligence --- Computer systems --- Soft computing --- Automatic data storage --- Automatic information retrieval --- Automation in documentation --- Computer-based information systems --- Data processing systems --- Data storage and retrieval systems --- Discovery systems, Information --- Information discovery systems --- Information processing systems --- Information retrieval systems --- Machine data storage and retrieval --- Mechanized information storage and retrieval systems --- Electronic information resources --- Data centers --- Digital libraries --- Information organization --- Information retrieval

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• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

This book mainly addresses the general equilibrium asset pricing method in two aspects: option pricing and variance risk premium. First, volatility smile and smirk is the famous puzzle in option pricing. Different from no arbitrage method, this book applies the general equilibrium approach in explaining the puzzle. In the presence of jump, investors impose more weights on the jump risk than the volatility risk, and as a result, investors require more jump risk premium which generates a pronounced volatility smirk. Second, based on the general equilibrium framework, this book proposes variance risk premium and empirically tests its predictive power for international stock market returns.

Macroeconomics --- Quantitative methods (economics) --- Economic schools --- Public finance --- economie --- macro-economie --- economisch denken --- sociale interventies --- overheidsfinanciën

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"As the fiftieth anniversary of 1968 approaches, this book reassesses the global causes, themes, forms, and legacies of that tumultuous period. While existing scholarship continues to largely concentrate on the US and Western Europe, this volume will focus on Asia, Africa, the Middle East, and Eastern Europe. International scholars from diverse disciplinary backgrounds explore the global sixties through the prism of topics that range from the economy, decolonization, and higher education, to forms of protest, transnational relations, and the politics of memory."-- Provided by publisher.

World politics --- World politics --- Nineteen sixties --- Civilization, Modern --- Social aspects