We study the exponential utility indifference valuation of a contingent claim B in an incomplete market driven by two …

individual parameters, the dynamics of the aggregate volatility involves additional lags that reflect the moments of the … evaluate the importance of the aggregation bias. Using size and book-to-market portfolios, I show that the investor is willing …

price volatility and “sentiment” fluctuations. We construct a general-equilibrium model of sentiment. In it, there are two …

discuss the relations between the results obtained and the phenomenon of ”volatility-induced growth” in stationary markets. …

existing methods lies in its straightforward application to models with stochastic volatility and stochastic interest rates. We … exploit this advantage by providing an analysis of the impact of volatility mean-reversion, volatility of volatility, and …

In this paper we construct arbitrage-free market models of stochastic volatility type for one stock, one bank account …-option market models with a prespecified volatility structure. … volatilities and price level as market observables which parametrize the staticarbitrage bounds of options across strikes and …

order belief", on asset price volatility. The paper shows that heterogeneous expectations induce higher order beliefs and … that heterogeneous expectation asset pricing models thoretically generate more volatility than rational expectation models … higher order beliefs can be empirically estimated. The model is then applied to annual data of the American stock market. The …

This paper investigates the impact of heterogeneous beliefs of professional investors on the currency options market …. Using a unique data set with detailed information on the foreign-exchange forecasts of about 50 market participants over … and economically strong effect on the implied volatility of currency options, on the shap e of the implied volatility …

We examine empirically the response of bond returns and their volatility to good and bad macroeconomic news in economic … contractions. In particular, we observe the strongest bond market response to bad news in the release of non-farm payrolls in … macroeconomic news impacts substantially the volatility of bond returns at all maturities by increasing jump intensities and by …