In this partial and selective literature review of option implied risk-neutral distributions and of
implied binomial trees, we start by observing that in efficient markets, there is information …

Analysts are accustomed to using prices for the information they contain. A stock price, for
example, can be thought of as an expected value of future cash flows. Each futures price …

Suppose we are given a set of prices of European call options over a finite range of strike
prices and exercise times, written on a financial asset with deterministic dividends which is …

A general approach for calibrating Monte Carlo models to the market prices of benchmark
securities is presented. Starting from a given model for market dynamics (price diffusion, rate …

Double no-touch options are contracts which pay out a fixed amount provided an underlying
asset remains within a given interval. In this work, we establish model-independent bounds …

This paper is concerned with the characterization of arbitrage-free dynamic stochastic
models for the equity markets when Itô stochastic differential equations are used to model …

We consider the problem of computing upper and lower bounds on the price of an European
basket call option, given prices on other similar options. Although this problem is hard to …

We describe a replicating strategy of CDO tranches based upon dynamic trading of the
corresponding credit default swap index. The aggregate loss follows a homogeneous …

Under the assumption of absence of arbitrage, European option quotes on a given asset
must satisfy well-known inequalities, which have been described in the landmark paper of …

The purpose of this paper is to highlight some of the key elements of the HJM approach as
originally introduced in the framework of fixed income market models, to explain how the …