We introduce downward volatility jumps into a general non-affine modeling framework of the
term structure of variance. With variance swaps and S&P 500 returns, we find that downward …

We provide novel evidence for an equilibrium link between investors' disagreement, the
market price of volatility and correlation, and the differential pricing of index and individual …

This paper investigates the behavior of asset prices in an endowment economy in which a
representative agent with power utility consumes the dividends of multiple assets. The …

Risks of rare economic disasters can have a large impact on asset prices. At the same time,
difficulties in inference regarding both the likelihood and severity of disasters, as well as …

We introduce closed-form transition density expansions for multivariate affine jump-diffusion
processes. The expansions rely on a general approximation theory which we develop in …

We show that inflation disagreement, not just expected inflation, has an impact on nominal
interest rates. In contrast to expected inflation, which mainly affects the wedge between real …

We introduce a novel stochastic volatility model where the squared volatility of the asset
return follows a Jacobi process. It contains the Heston model as a limit case. We show that …

We study dynamic equilibrium in a Lucas economy with two stocks, two heterogeneous
constant relative risk aversion investors, and portfolio constraints. We focus on margin and …

In fixed income markets, volatility is unspanned if volatility risk cannot be hedged with bonds.
We first show that all affine term structure models with state space ℝ+ M× ℝ N− M can be drift …

We recommend the addition of a deterministic displacement to multi-factor affine models to
calibrate and hedge SPX and VIX derivatives jointly. The proposed model, labeled …