In the paper we present the application of risk neutral measure estimation in the analysis of the index WIG20 from Polish stock market. The risk neutral measure is calculated from the process of the options on that index. We assume that risk neutral measure is the mixture of lognormal...

Traditional event study methods use regression models to estimate market models and conduct statistical tests. We present a method based on option-implied information about the distribution of stock returns and the co-movement with return factors. This method decreases the reliance on historical...

Event study, panel regression, and difference-in-difference techniques are among the most prominent research methodologies in corporate finance. However, these techniques are inappropriate if corporate events are anticipated to some degree, as most events are. This paper proposes options as an...

We examine the effects of unconventional monetary policy (UMP) events in the United States on asset price risk using risk-neutral density functions estimated from options prices. Based on an event study including a key exchange rate, an equity index, and five commodities, we find that “tail...

Die vorliegende Dissertation befasst sich mit der Thematik von bedingten (Pflicht- ) Wandelanleihen, sogenannten Contingent Convertible Bonds (coco bonds). Teil I zeigt auf weshalb Coco-Bonds als mögliche Massnahme zur Reduktion systemischer Risiken grosser Finanzinstitute eingesetzt werden...