against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices …

understand sudden change of the interest rate and exchange rate volatility in "tranquil" and "volatile" regimes even under a …

financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of G … this more complex situation and consider stock price dynamics which exclude arbitrage opportunities. Due to volatility … claims and deduce explicit results in a Markovian setting. -- Pricing of contingent claims ; incomplete markets ; volatility …

speculate, we show that speculation increases volatility of asset returns and investment growth, increases the equity risk …