This paper examines the joint time series of the S&P 500 index and near-the-money short-dated
option prices with an arbitrage-free model, capturing both stochastic volatility and jumps…

We study the nature of sovereign credit risk using an extensive set of sovereign CDS data.
We find that the majority of sovereign credit risk can be linked to global factors. A single …

In the setting of ‘affine’ jump‐diffusion state processes, this paper provides an analytical
treatment of a class of transforms, including various Laplace and Fourier transforms as special …

Although halide perovskite nanocrystals (NCs) are promising materials for optoelectronic
devices, they suffer severely from chemical and phase instabilities. Moreover, the common …

Major events often trigger abrupt changes in stock prices and volatility. We study the
implications of jumps in prices and volatility on investment strategies. Using the event‐risk …

We propose a market‐wide liquidity measure by exploiting the connection between the
amount of arbitrage capital in the market and observed “noise” in US Treasury bonds—the …

… Darrell Duffie and Jun Pan … 1Darrell Duffie and Jun Pan are at The Graduate School of
Business, Stanford University, Stanford CA 94305-5015, USA. Telephone: 415-723-1976. Our …

This paper explores the nature of default arrival and recovery implicit in the term structures
of sovereign CDS spreads. We argue that term structures of spreads reveal not only the …

Perovskite light-emitting diodes (PeLEDs) with an external quantum efficiency exceeding 20%
have been achieved in both green and red wavelengths 1 , 2 , 3 , 4 – 5 ; however, the …

This paper examines the illiquidity of corporate bonds and its asset‐pricing implications.
Using transactions data from 2003 to 2009, we show that the illiquidity in corporate bonds is …