the mean and volatility of equity returns. Our model assumes a small risk of a rare disaster that is calibrated based on … the international data on large consumption declines. We allow the risk of this rare disaster to be stochastic, which … turns out to be crucial to the model's ability to explain both equity volatility and option prices. We explore different …

examines the implications of stochastic volatility and jumps for option valuation. This example highlights the impact on option … amp;apos;smirksamp;apos; of the joint distribution of jumps in volatility and jumps in the underlying asset price, through …

We conduct a comprehensive analysis of unspanned stochastic volatility in commodity markets in general and the crude …-oil market in particular. We present model-free results that strongly suggest the presence of unspanned stochastic volatility in … stochastic volatility. The model features correlations between innovations to futures prices and volatility, quasi …

We use a novel pricing model to filter times series of diffusive volatility and jump intensity from Samp;P 500 index … options. These two measures capture the ex-ante risk assessed by investors. We find that both components of risk vary … equilibrium model with a representative investor, we translate the filtered measures of ex-ante risk into an ex-ante risk premium …

risk is the dominant force, the size distribution of disasters follows a power law, and the economy has a representative … difference between the power-law tail parameter and the coefficient of relative risk aversion, γ. The options-pricing formula …

tractability. Nevertheless, the formula is useful for evaluating many types of risk …

stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … ("uncertainty"), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being …

growth and real exchange rate changes, a key measure of international risk-sharing …