Ex ante skewness and expected stock returns
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 …
securities' risk‐neutral returns distribution. We find that individual securities' risk‐neutral …
Risk-neutral densities: A review
S Figlewski - Annual Review of Financial Economics, 2018 - annualreviews.org
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 …
researcher to extract the market's risk-neutral density (RND) over the underlying price at …
[BOOK][B] Fundamental aspects of operational risk and insurance analytics: A handbook of operational risk
MG Cruz, GW Peters, PV Shevchenko - 2015 - books.google.com
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 …
operational risk Providing a complete overview of operational risk modeling and relevant …
Multiplicative watermark decoder in contourlet domain using the normal inverse Gaussian distribution
H Sadreazami, MO Ahmad… - IEEE Transactions on …, 2015 - ieeexplore.ieee.org
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 …
at protection of the copyright of an image document or authentication of data. This paper …
Anatomy of a Meltdown: The Risk Neutral Density for the S&P 500 in the Fall of 2008
J Birru, S Figlewski - Journal of Financial Markets, 2012 - Elsevier
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 …
time bid and ask quotes for index options, under extreme market stress during the fall of …
Beyond the Sharpe ratio: An application of the Aumann–Serrano index to performance measurement
U Homm, C Pigorsch - Journal of Banking & Finance, 2012 - Elsevier
We propose a performance measure that generalizes the Sharpe ratio. The new
performance measure is monotone with respect to stochastic dominance and consistently …
performance measure is monotone with respect to stochastic dominance and consistently …
Interest rate skewness and biased beliefs
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 …
macroeconomic outlook. Positive skewness signals upside risk to interest rates during …
[HTML][HTML] Unlocking the black box: Non-parametric option pricing before and during COVID-19
N Gradojevic, D Kukolj - Annals of Operations Research, 2022 - Springer
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 …
by using the explainable artificial intelligence (XAI) approach. We study call options written …
[BOOK][B] Advances in heavy tailed risk modeling: A handbook of operational risk
GW Peters, PV Shevchenko - 2015 - books.google.com
ADVANCES IN HEAVY TAILED RISK MODELING A cutting-edge guide for the theories,
applications, and statistical methodologies essential to heavy tailed risk modeling Focusing …
applications, and statistical methodologies essential to heavy tailed risk modeling Focusing …
Asymptotics for exponential Lévy processes and their volatility smile: survey and new results
L Andersen, A Lipton - … Journal of Theoretical and Applied Finance, 2013 - World Scientific
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 …
variables such as FX rates, stock prices, and so on. Considerable efforts have been devoted …