• Publications
  • Influence
Inflation risk premia and the expectations hypothesis
Abstract 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 aExpand
Model Uncertainty and Option Markets with Heterogeneous Beliefs
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. Market incompletenessExpand
Correlation Risk and Optimal Portfolio Choice
In this paper we solve an intertemporal portfolio problem with correlation risk, using a new approach for the simultaneous modeling of stochastic correlation and volatility. The solutions of theExpand
When There is No Place to Hide - Correlation Risk and the Cross-Section of Hedge Fund Returns
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 toExpand
The Price of a Smile: Hedging and Spanning in Option Markets
Using daily S&P 500 index options data from 1986-95, tests suggest that both in- and out-of-the-money options are needed for spanning of the pricing kernel, inconsistent with deterministic volatility models but consistent with stochastic models that incorporate additional priced risk factors, such as stochastically volatility, interest rates, or jumps. Expand
Habit Formation and Macroeconomic Models of the Term Structure of Interest Rates
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 are that theExpand
Liquidity risk and specialness
Abstract 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 leverageExpand
Correlation Risk and Optimal Portfolio Choice
We develop a new framework for intertemporal portfolio choice when the covariance matrix of returns is stochastic. An important contribution of this framework is that it allows to derive optimalExpand
Differences in beliefs and currency risk premiums
This paper studies the importance of heterogeneous beliefs for the dynamics of asset prices. We focus on currency markets, where the absence of short-selling constraints allows us to perform sharperExpand
An Equilibrium Valuation of Bitcoin and Decentralized Network Assets
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 thatExpand