In this study, we develop a deterministic nonlinear filtering algorithm based on a high-dimensional version of Kitagawa (1987) to evaluate the likelihood fun...

Generally, the semiclosed-form option pricing formula for complex financial models depends on unobservable factors such as stochastic volatility and jump int...

We propose the option realized variance as a new observable covariate that integrates high frequency option prices in the inference of option pricing models....

Security prices are important inputs for estimating credit risk models. Yet, to obtain an accurate firm-specific credit risk assessment, one needs a reliable...

The Great Recession has shaken the foundations of the financial industry and led to tighter solvency monitoring of both the banking and insurance industries....

Credit spreads and CDS premiums are investigated before, during and after the financial crisis with a flexible credit risk model. The latter is designed to c...