fnancial institutions. We show that the 10-year Treasury yield's forward-looking volatility, a VIX-style measure that is a … volatility of crude oil prices over the near term. Using monthly data from 2003 to 2020, we document that higher implied … volatility in the 10-year U.S. Treasury derivatives market predicts declining oil prices and higher forward-looking volatility in …

straddles; second, we estimate the PVR in a Heston (1993) stochastic-volatility model. In both cases, the estimation is … more negative and its term structure is steeper when volatility is high. These findings are inconsistent with calibrations …

Bermudan cancelable features. We consider a three-factor pricing model with FX volatility skew which results in a time …

advantages: i) ensures nonnegative interest rates, ii) easily accommodates unspanned factors affecting volatility and risk …, volatility, and risk premium dynamics — including when interest rates are close to the zero lower bound …

straddles; second, we estimate the PVR in a Heston (1993) stochastic-volatility model. In both cases, the estimation is … more negative and its term structure is steeper when volatility is high. These findings are inconsistent with calibrations …

We calculate the social cost of carbon (SCC) under stochastic climate volatility resulting from uncertainty about … climate volatility risks substantially increase the SCC both in the business-as-usual and optimal abatement policy scenario … more frequent disasters for equal expected value. Overall we show that stochastic volatility has a major impact on the SCC. …

(Casassus and Collin-Dufresne, 2005) and/or stochastic volatility (Nielsen and Schwartz, 2004; Richter and Sørensen, 2006 …