A method is developed to determine the portfolio that maximizes the expected utility of an
agent that trades the difference between a perceived future price distribution of an asset and …

The purpose of this paper is to investigate which of the proposed parametric models for
extracting risk-neutral density; among Black-Scholes Merton, mixture of two log-normals and …

Pricing of interest rate derivatives, such as CMS spread or mid-curve options, depends on
the modelling of the underlying single rates. For flexibility and realism, these rates are often …

Moments of future prices and returns are not observable, but it is possible to measure them
indirectly. A set of option prices with the same maturity but with different exercise prices are …

We propose a new short-rate process which appropriately captures the salient features of
the negative interest rate environment. The model combines the advantages of the Vasicek …

In this paper, we propose a methodology for measuring the information flows that underpin
option price movements and for analyzing the distribution of these flows. We develop a …

Quantifying economic uncertainty, ie an environment in which little or nothing is known
about the future state of the economy, poses a challenge to both market participants and …

The purpose of this paper is to investigate which of the proposed parametric models for
extracting risk-neutral density; among Black-Scholes Merton, mixture of two log-normals and …