The implied volatility of an option as a function of strike price and time to maturity forms a volatility surface. Traders price according to the dynamics of this high dimensional surface. Recent developments that employ semiparametric models approximate the implied volatility surface (IVS) in a...

The new regulation of the EU for financial products (UCITS IV) prescribes Value at Risk (VaR) as the benchmark for assessing the risk of structured products. We discuss the limitations of this approach and show that, in theory, the expected return of structured products is unbounded while the...

Purpose: Interdependency among industries is vital for understanding economic structures and managing industrial portfolios. However, it is hard to precisely model the interconnecting structure among industries. One of the reasons is that the interdependencies show a different pattern in tail...