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Speech
Money markets after liftoff: assessment to date and the road ahead
Remarks at the 70th Anniversary Celebration of the School of International and Public Affairs at Columbia University, New York City.
Report
Nonparametric pricing of multivariate contingent claims
In this paper, I derive and implement a nonparametric, arbitrage-free technique for multivariate contingent claim (MVCC) pricing. Using results from the method of copulas, I show that the multivariate risk-neutral density can be written as a product of marginal risk-neutral densities and a risk-neutral dependence function. I then develop a pricing technique using nonparametrically estimated marginal risk-neutral densities (based on options data) and a nonparametric dependence function (based on historical return data). By using nonparametric estimation, I avoid the pricing biases that result ...