Financial models are largely used in option pricing. These physical models capture several salient features of asset price dynamics. The pricing performance can be significantly enhanced when they are combined with nonparametric learning approaches, that empirically learn and correct pricing...

We show that a simple equilibrium model with uncertain growth is able to simultaneously generate patterns in implied volatility and risk aversion that are similar to the ones observed in the data. In addition, the model produces an implied pricing kernel that is increasing for particular levels...

In this article, we describe the various sorts of American Parisian options and propose valuation formulae. Although there is no closed-form valuation for these products in the non perpetual case, we have been able to reformulate their price as a function of the exercise frontier. In the...

Institutional but also private investors have often limited flexibility in timing their investment decision. Therefore, they look for investments that would ideally be independent of the timing decision. We introduce a new class of derivative products whose payoff is linked to the trend of the...

Ziel dieses Beitrages ist es, die Zusammenhänge zwischen den Binomialmodellen der Operationsbewertung (Replikation bzw. Methode der risikoneutralen Wahrscheinlichkeiten) und dem Black/Scholes Modell aufzuzeigen und zu analysieren...

To improve risk management in the European Union Emissions Trading Scheme (EU ETS), the European Climate Exchange (ECX) has introduced option instruments in October 2006 after regulatory authorization. The central question we address is: can we identify a potential destabilizing effect of the...

This article focuses on the volatility of crude oil futures prices on the New York Mercantile Exchange. It aims at examining whether this market creates excess volatility, which would not be observed in the absence of such a market. In order to reach this objective, price fluctuations are...

Over the last three decades, the world economy has been facing stock market crashes, currency crisis, the dot-com and real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of ready-made approaches to risk management analysis....

The study of tail events has become a central preoccupation for academics, investors and policy makers, given the recent financial turmoil. However, the question on what differentiates a crash from a tail event remains unsolved. This article elaborates a new definition of stock market crash...