Samuel Malone

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(Summary) Although speculative activity is central to black markets for currency, the out-of-sample performance of structural models in those settings is unknown. We substantially update the literature on empirical determinants of black market rates and evaluate the out-of-sample performance of linear models and nonparametric Bayesian treed Gaussian process(More)
In this paper, we describe a general method for constructing the posterior distribution of an option price. Our framework takes as inputs the prior distributions of the parameters of the stochastic process followed by the underlying, as well as the likelihood function implied by the observed price history for the underlying. Our work extends that of Karolyi(More)
In this paper, we describe a general method for constructing the posterior distribution of an option price. Our framework takes as inputs the prior distributions of the parameters of the stochastic process followed by the underlying, as well as the likelihood function implied by the observed price history for the underlying. Our work extends that of Karolyi(More)
In this paper, we introduce a class of quite general Lévy processes, with both a diffusion part and a pure jump component, as a prior distribution for log prices and volatilities in stochastic volatility models. This extends the work of Duffie et al. [2000] who model the jump part of the process as a compound Poisson process. Besides using a general Lévy(More)
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