order belief", on asset price volatility. The paper shows that heterogeneous expectations induce higher order beliefs and … that heterogeneous expectation asset pricing models thoretically generate more volatility than rational expectation models … results shows that a model with higher order beliefs generates a level of volatility in line with the price volatility …

In this paper the performance of locally risk-minimizing hedge strategies for European options in stochastic volatility … large class of diffusion-type stochastic volatility models, and they are as easy to implement as usual delta hedges. Our … simulation results on model risk show that the locally risk-minimizing hedges are robust with respect to uncertainty and even …

arguably a superior proxy to credit risk than bond spreads. The variables considered include fixed-income as well as equity … markets data. We thus provide an international analysis of corporate credit risk, and some results on sovereign risk. Simple … bond spreads when pricing credit risk. …

chain and which accounts for default and liquidity risk. A representation of the bond price dynamics, which separates three … different types of risk, was obtained. Introducing the risk of systematic changes in the market liquidity added more risks. A …

hedging. We use martingale arguments to provide upper and lower bounds, in terms of bounds on the correlation, for the value V …

existence and uniqueness of a solution. We give explicit examples of volatility coeffcients satisfying the required assumptions …