We develop a model of regime-switching risk premia as well as regime-dependent factor risk premia to price real options. The model incorporates the observation that the underlying risky income streams of real options are ...

The aim of this study is to investigate the link between the inflation uncertainty and the inflation risk premia implied by the term structures of nominal and real interest rates in Brazil. We gauge the latter by the ...

The aim of this study is to investigate the link between the inflation risk premia implied by the term structures of nominal and real interest rates in Brazil and disagreements in inflation forecasts. We gauge the former ...

The return forecasting factor is a linear combination of forward rates that seems to predict 1-year excess bond returns of bond of all maturities better than traditional measures obtained from the yield curve. If this ...

We characterize a three-factor model of commodity spot prices, convenience yields, and interest rates, which nests many existing specifications. The model allows convenience yields to depend on spot prices and interest ...

This dissertation provides a background on the secular stagnation debate, focusing on two pillars: (i) weakening of traditional monetary tools, measured by how different Taylor Rules evolved since the 90s until 2020 and ...

This paper proposes a new novel to calculate tail risks incorporating risk-neutral information without dependence on options data. Proceeding via a non parametric approach we derive a stochastic discount factor that correctly ...