Zhiwu Chen

Learn More
  • Gurdip Bakshi, Peter Carr, Liuren Wu, Nasir Afaf, Doron Avramov, David Backus +37 others
  • 2006
We develop models of stochastic discount factors in international economies that produce stochastic risk premiums and stochastic skewness in currency options. We estimate the models using time-series returns and option prices on three currency pairs that form a triangular relation. Estimation shows that the average risk premium in Japan is larger than that(More)
  • Marzena Rostek, Marek Weretka, Robert Almgren, Zhiwu Chen, Peter Demarzo, Steven Durlauf +13 others
  • 2008
Large institutional investors dominate many financial markets. This paper develops a consumption-based model of markets in which all institutional traders recognize their impact on prices. Bilateral (buyer and seller) market power changes efficiency and arbitrage properties of equilibrium. Predictions match temporary and permanent price effects of supply(More)
How reliable is the recovery theorem of Ross (2015)? We explore this question in the context of options on the 30-year Treasury bond futures, allowing us to deduce restrictions that link the risk-neutral and physical distributions. The backbone of these restrictions is that the martingale component of the stochastic discount factor is unity. Our approach(More)
  • 1