the times when the risk factors are detected to have a jump. The test statistic is a cross‐sectional average of a measure … assessing the magnitude of firm‐specific risk in asset prices at the factor jump events. Empirical application to S&P 100 stocks …

the real-world measure and the risk-neutral measure in an environment of stochastic implied volatility. On the basis of … volatility derivatives. In the first part, the book develops a unifying theory for the analysis of contingent claims under both … risk, and volatility trading …