Jumps in asset prices are ubiquitous, yet the apparent high price of jump risk observed
empirically is commonly viewed as puzzling. We develop new model-free short-time risk …

This paper documents the dynamics of the term structure of the implied volatility (IV) smirk of
Chicago Board Options Exchange Volatility Index (VIX) options. Empirical analysis shows …

The equity variance risk premium is the expected compensation earned for selling variance
risk in equity markets. The variance risk premium is positive and shows only moderate …

In the data, stock market volatility negatively predicts short-run equity and variance risk
premia, at odds with leading asset pricing models. I show that infrequent large volatility …

This paper proposes data-driven “implied local volatility models” that are designed to fit the
observed level, slope, convexity, and term-structure slope of implied volatility surface at any …

In this paper, we develop an equilibrium framework to explain the characteristics of volatility
index (VIX) futures prices and returns across maturities. In the framework, the investors …

This study investigates whether risks captured by higher order moments of stock market
volatility are priced in the cross section of stocks. These moments are estimated from daily …

This paper proposes a novel stochastic volatility model with a flexible jump structure. This
model allows both contemporaneous and independent arrival of jumps in return and …

In this paper, we extend the existing generalized transform analysis in a way that allows us
to propose a novel GMM approach for estimating asset pricing models. Our methodology is …

Most pricing methods for VIX futures and European VIX options rely on the existence of the
squared VIX moment generating function. Yet this function does not exist for some state-of …