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 ...

The appropriate measure of cash flow for valuing corporate assets is net payout, which is the sum of dividends, interest, and net repurchases of equity and debt. Variation in net payout yield, the ratio of net payout to ...

We propose a parsimonious 'unspanned stochastic volatility' model of the term structure and study its implications for fixed-income option prices. The drift and quadratic variation of the short rate are affine in three ...

This work hopes to offer a guide to investment given our rational or fundamentalist expectations about financial assets, in order to ensure that the economic agents can invigorate their productive activities and/or ...

One of the most commonly used methods to determine a company's value is the discounted cash flow (DCF), a method that consider financial and accounting data to measure its fair value, based on the projection of future cash ...

This article studies the ability of an N-factor Gaussian model to explain the stochastic behavior of oil futures prices when estimated with the use of all available price information, as opposed to traditional approaches ...