We calculate the social cost of carbon (SCC) under stochastic climate volatility resulting from uncertainty about … future climate risk regimes where weather extremes are becoming more frequent and intense. Using a stochastic dynamic …

We study general equilibrium asset prices in a multi-period endowment economy when agents' risk aversion is allowed to … depend on the maturity of the risk. We find horizon-dependent riskaversion preferences generate a decreasing term structure … of risk premia if and only if volatility is stochastic. Our model can thus justify the recent empirical results on the …

The concept of model uncertainty is one of increasing importance in the field of Mathematical Finance. The main goal of … this work is to explore model uncertainty in the specific area of algorithmic and high frequency trading. From a … behavioural perspective, model uncertainty naturally leads to the notion of ambiguity aversion - a person's tendency to avoid …

generalized LRR model is as tractable but more flexible due to its separation of ambiguity aversion from both risk aversion and … variance premium puzzle besides the puzzles of the equity premium, the risk-free rate, and the return predictability …. Specifically, the model matches reasonably well key asset-pricing moments with risk aversion under 5. Model calibration shows that …