We use option prices to estimate ex ante higher moments of the underlying individual
securities' risk‐neutral returns distribution. We find that individual securities' risk‐neutral …

Trading in options with a wide range of exercise prices and a single maturity allows a
researcher to extract the market's risk-neutral density (RND) over the underlying price at …

A one-stop guide for the theories, applications, and statistical methodologies essential to
operational risk Providing a complete overview of operational risk modeling and relevant …

In recent years, many works on digital image watermarking have been proposed all aiming
at protection of the copyright of an image document or authentication of data. This paper …

We examine the risk neutral probability density (RND) for the S&P 500 extracted from real-
time bid and ask quotes for index options, under extreme market stress during the fall of …

We propose a performance measure that generalizes the Sharpe ratio. The new
performance measure is monotone with respect to stochastic dominance and consistently …

Conditional skewness of Treasury yields is an important indicator of the risks to the
macroeconomic outlook. Positive skewness signals upside risk to interest rates during …

This paper addresses the interpretability problem of non-parametric option pricing models
by using the explainable artificial intelligence (XAI) approach. We study call options written …

ADVANCES IN HEAVY TAILED RISK MODELING A cutting-edge guide for the theories,
applications, and statistical methodologies essential to heavy tailed risk modeling Focusing …

Exponential Lévy processes can be used to model the evolution of various financial
variables such as FX rates, stock prices, and so on. Considerable efforts have been devoted …