. Furthermore, under the consensus belief, the implied volatility of the call options exhibits some observed patterns widely …

equilibrium prices and portfolios are obtained in closed form. Learning from option prices is characterized explicitly in terms of …

This paper treats the risk-averse optimal portfolio problem with consumption in continuous time for a stochastic-jump-volatility …, jump-diffusion (SJVJD) model of the underlying risky asset and the volatility. The new developments are the use of the …-amplitude distribution in volatility for the optimal portfolio problem. Although unlimited borrowing and short-selling play an important role …

learning about unknown persistence of economic growth. Endogenous feedback from productivity news to consumption magnifies the … effect of parameter learning on marginal utility, whereas exogenously determined cash-flows dampen the possibility of … endogenous response. Consequently, a production economy with learning better captures stylized facts, explaining the variance …

are followed by economic recoveries, the slope of the implied volatility term structure is positive in good times but … turns negative in bad times. Additionally, implied volatility decreases with moneyness in bad times (volatility skew), while … the dynamics of the implied volatility surface while keeping standard asset pricing moments realistic …

closely and has certain other advantages. Second, we introduce a volatility index that provides a lower bound on the market …

hedging or speculation purposes, and we adopt an original pricing approach based on Supervised Learning (SL) algorithms. In …