We provide novel evidence for an equilibrium link between investors' disagreement, the market
price of volatility and correlation, and the differential pricing of index and individual equity …

We develop a new framework for multivariate intertemporal portfolio choice that allows us to
derive optimal portfolio implications for economies in which the degree of correlation across …

This paper provides option pricing and volume implications for an economy with heterogeneous
agents who face model uncertainty and have different beliefs on expected returns. …

The volatility smile changed drastically around the crash of 1987, and newoption pricing
models have been proposed to accommodate that change. Deterministic volatility models …

We address the valuation of bitcoins and other blockchain tokens in a new type of production
economy: a decentralized financial network (DN). An identifying property of these assets is …

Hedge fund managers are subject to several nonlinear incentives: performance fee options (call);
equity investors' redemption options (put); and prime broker contracts allowing for …

Repo contracts, the most important form of collateralized lending, are widely used by financial
institutions and hedge funds to create short-selling positions and manage their leverage …

We study the properties of the nominal and real risk premia of the term structure of interest
rates. We develop and solve the bond pricing implications of a structural monetary version of a …

Using a novel data set on correlation swaps, we study the relation between correlation risk,
hedge fund characteristics, and their risk-return profile. We find that the ability of hedge funds …

This paper introduces a new class of nonaffine models of the term structure of interest rates
that is supported by an economy with habit formation. Distinguishing features of the model …