volatility jump diffusion model …

the market diffusive risk have a higher option-implied volatility level while firms with a larger return compensation for … market jump risk have steeper option-implied volatility slope …

Asymmetric volatility concerns the relation of returns to future expected volatility. Much is known from option prices … about the marginal risk-neutral distributions of S&P 500 returns and of relative changes in future expected volatility (VIX … on long-dated index options. We estimate the risk-neutral asymmetric volatility implied correlation and find it to be …

and volatility risk in the dynamics of asset value in debt rollover models. Using an innovative theoretical approach we … values from empirical studies that volatility risk, together with deteriorating bond market liquidity, decrease both debt and …

volatility and exhibit a pattern known as the volatility skew. We explain both facts using a model that can also account for the … mean and volatility of equity returns. Our model assumes a small risk of economic disaster that is calibrated based on … to the model's ability both to match equity volatility and to reconcile option prices with macroeconomic data on disaster …

fanning effect generates pronounced volatility smirks …

We study the pricing of contracts in fixed income markets in the presence of volatility uncertainty. We consider an … arbitrage-free bond market under volatility uncertainty. The uncertainty about the volatility is modeled by a G-Brownian motion … traditional models with the highest and lowest possible volatility. Due to these pricing formulas, the model naturally exhibits …