Using the implied volatility smirk on individual equity securities to measure perceived tail
risk, we find that better environmental, social and governance (ESG) practices significantly …

The SKEW index of the Chicago Board Options Exchange (CBOE), launched in February
2011, measures the tail risk not fully captured by the VIX index. In this paper we introduce …

In this paper, we provide a comprehensive study on the higher-order risk-neutral moments
(RNMs) and differences in RNMs (DRNMs) in the crude oil market, implied by options written …

We provide detailed descriptions, including over 550 mathematical formulas, for over 150
trading strategies across a host of asset classes (and trading styles). This includes stocks …

This study disentangles a measure of implied skewness that is related to downward
movements in the US equity index from the corresponding implied skewness that is …

We propose a novel representation of commodity spot prices in which the cost-of-carry and
the spot price volatility are both driven by an arbitrary number of risk factors, nesting many …

The implied volatility skew has received relatively little attention in the literature on short-
term asymptotics for financial models with jumps, despite its importance in model selection …

A capped volatility swap is a forward contract on an asset's capped, annualized, realized
volatility, over a predetermined period of time. This paper presents data-driven machine …

This paper examines the Euribor-OIS spread and volatility skew as future indicators of the
euro jumps triggered by crash events during the European financial crises of 2007–2015 …

This paper presents a procedure to construct an asymmetric fan chart of risks around global
growth forecasts. The distribution of risks around global growth forecasts is estimated by …