This study provides an in-depth analysis of how to estimate risk-neutral moments robustly. A simulation and an empirical study show that estimating risk- neutral moments presents a trade-off between (1) the bias of estimates caused by a limited strike price domain and (2) the variance of...

This book presents new approaches to valuing derivative securities with credit risk, focussing on options and forward contracts subject to counterparty default risk, but also treating options on credit-risky bonds and credit derivatives. The text provides detailed descriptions of the...