1. INVESTMENT STRATEGYGLOBAL EQUITY RESEARCH & MACRO UNITED STATESU.S. Strategy High Equity Risk Premium in a Low Volatility World In a post-bubble equity environment,…
Lehman Brothers does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may have a conflict of…
1. Factor Structure in Equity Options Peter Christoffersen (Rotman School, CBS and CREATES) Mathieu Fournier (University of Toronto, PhD student) Kris Jacobs (University…
Slide 1 1 On the Term Structure of Model-Free Volatilities and Volatility Risk Premium Kian Guan LIM and Christopher TING Singapore Management University Slide 2 2 Motivations…