variance but driven by a separate process. We show that this separation of jump risk from volatility risk is needed to match …We propose a long-run risk model with stochastic volatility, a time-varying mean reversion level of volatility, and … jumps in the state variables. The special feature of our model is that the jump intensity is not affine in the conditional …

We develop a comprehensive mathematical framework for polynomial jump-diffusions in a semimartingale context, which … nest affine jump-diffusions and have broad applications in finance. We show that the polynomial property is preserved under … based on polynomial jump-diffusions …

that the resulting implied volatility curves provide an accurate approximation for a wide range of strike prices. Based on …

We generalize the Kou (2002) double exponential jump-diffusion model in two directions. First, we independently … displace the two tails of the jump size distribution away from the origin. Second, we allow for each of the displaced tails to …