HEPA is only for particulate contaminants. At least some of the expensive filters have activated charcoal and other chemical filters.
Activated carbon is effective just to remove odors and nothing more. It's not expensive either, it's like $ 10/kg retail.
A high-end filter is more likely to work with ionization. [1]
[1] http://www.amazon.com/Sharp-FPA80UW-Plasmacluster-Purifier-F...