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Bayesian Analysis of Stochastic Volatility Models

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General Properties of Option Prices

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Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns

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Volatility Skews and Extensions of the Libor Market Model

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Market Timing and Short-Term Interest Rates

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Bayesian Analysis of Regression Error Terms

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Estimation of Stochastic Volatility Models for the Purpose of Option Pricing

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1999 • 10 citations

Bayesian Analysis of a Stochastic Volatility Model with Leverage Effect and Fat Tails

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Pricing stock options under stochastic volatility and interest rates with efficient method of moments estimation

1999 • 5 citations

Deleted Work

1955 • 0 citations