We consider fundamental questions of arbitrage pricing arising when the uncertainty model incorporates volatility … such sets when volatility uncertainty is modeled by a stochastic differential equation, driven by Peng's G-Brownian motion. …

We study the pricing and hedging of derivative securities with uncertainty about the volatility of the underlying asset … "distance" to a reference local volatility model. In the limit for small uncertainty aversion, this leads to explicit formulas …

uncertainty of the underlying. Transferring this intuition to volatility jumps requires that in affine models the variance jump … model-free analysis shows that the local variance-of-variance describes risk-neutral variance jump expectations well across … crises, whereas its long-run stochastic mean remains at lower levels. Second, the vol-of-vol risk-premium increases to 6 …

volatility and reduce the predictability of implied volatility for the future realized volatility. Additionally, we show an … insignificant change in volatility skew during the time of a significant change in volatility implied from ATM options. Conclusively …, we provide novel evidence that the uncertainty of information concerning a firm's fundamental underlying volatility …

We show how to set up a forward rate model in the presence of volatility uncertainty by using the theory of G … equations and two market prices of risk, respectively, uncertainty. Furthermore, we examine the connection to short rate models …

It is shown how to construct an arbitrage-free short rate model under uncertainty about the drift and the volatility …

We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high …

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

low to short; an effective asset pricing model must acknowledge this. Third, it is proposed that investors are not risk …

, forecasts, and levels of conviction. Second, it is proposed that investors are not risk neutral and have non-linear utility …