This paper uses the method developed by Bollerslev and Todorov (2011b) to estimate risk premia for extreme events for … method to German data yields very similar results to the ones shown for the US data. The risk premia for rare events … constitute a considerable part of the total equity and variance risk premia for both markets. When using the results to build an …

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 …

We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the …

This paper is the first to study the hedging of price risk with uncertain payment dates, a frequent problem in practice … advantages with increasing hedge horizons and strongly dependent time and price risk, while linear instruments can suffice for …