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 …

and economically strong effect on the implied volatility of currency options, on the shap e of the implied volatility … smile, on the volatility risk-premia, and on future currency returns. We do cument that the volatility of macro economic …

volatility and risk aversion that are similar to the ones observed in the data. In addition, the model produces an implied …

We derive a closed-form asymptotic expansion formula for option implied volatility under a two-factor jump …-diffusion stochastic volatility model when time-to-maturity is small. Based on numerical experiments we describe the range of time … free of the unobserved spot volatility. Therefore, the model can be calibrated on option data pooled across different …

. The analysis is performed in the framework of a two-factor model with local and stochastic volatility. We describe an … algorithm for building the power series approximation of implied volatility. In the case of CEV volatility of volatility we …

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 … results shows that a model with higher order beliefs generates a level of volatility in line with the price volatility …

investors perhaps overestimate the volatility of equity returns. Both facts reduce the puzzle. However, data on beliefs about … output volatility (Survey of Professional Forecasters) shows marked overconfidence. On balance, the equity premium is …