common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than … with the volatility of the spot market. This is an intuitive result because storage capacity can serve as an effective …

We calculate the social cost of carbon (SCC) under stochastic climate volatility resulting from uncertainty about … climate volatility risks substantially increase the SCC both in the business-as-usual and optimal abatement policy scenario … more frequent disasters for equal expected value. Overall we show that stochastic volatility has a major impact on the SCC. …

the maxumum Distributable Amount not being exceeded. We examine the impact of CoCo design parameters, asset volatility and …

simulation algorithm exists for this process, at present this is not the case for the Heston stochastic volatility model, where …

The characteristic functions of many affine jump-diffusion models, such as Heston’s stochastic volatility model and all …

thesystematc volatility of the consumption process, our estimation results suggestthat the short-term interest rate fails to be a …While the stochastic volatility (SV) generalization has been shown to improvethe explanatory power compared to the … then investigate the respectiveeffect of stochastic interest rate, systematic volatility and idiosyncraticvolatility on …