Describes a method of extracting the risk-neutral probability distribution of future exchange
rates from option prices. Over-the-counter currency option markets; How to estimate the risk-…

Financial risk has become a focus of financial and nonfinancial firms, individuals, and policy
makers. But the study of risk remains a relatively new discipline in finance and continues to …

This paper describes a procedure for estimating the market's perceived probability distribution
of future exchange rates from the prices of risk reversals, strangles and other currency …

This paper describes a method of extracting the risk-neutral probability distribution of future
exchange rates from option prices. In foreign exchange markets interbank option pricing …

This paper describes a method for computing risk-neutral density functions based on the
option-implied volatility smile. Its aim is to reduce complexity and provide cookbook-style …

The GameStop stock trading episode that began in January 2021 has been unprecedented
in some ways, especially in the ability of market participants to organize collective action …

This technical document details the long-term forecasting and scenario generation
methodologies in LongRun. It contains two sets of techniques for computing forecast values and …

Implied volatility can signal that market turmoil has become more likely in the near future.
Statistical evidence is presented indicating that implied volatility contains information regarding …

Vega risk can be a large part of the risk of a portfolio containing options. Vega risk is analytically
easy to" nest" into the standard risk management framework, but is complicated by the …

Risk reversals are a combination of options from which price information about market
expectations of future exchange rates can be extracted. This paper describes a procedure for …