The contemporary refining sector has to contend with many types of risks, among which price risk is considered to be … the foremost. Moreover, refineries define it as a commodity risk and identify it with both opportunities and threats … refineries. It can help refineries to create a more successful price risk management policy, which may thus protect the companies …

-varying volatility for stock returns, even when volatility of economic fundamental is constant. As a source of risk, for investors with … intuition, we show that information uncertainty as a systematic risk factor is able to explain variance premium term structure … and has better performance to explain cross-section index option returns than traditional symmetric risk factors such as …

In this paper, we propose a novel parametric approach to extract the implied risk-neutral density function from a cross … show that well-behaved risk neutral densities can be generated by imposing restrictions on the parameters of the model. The … results of our numerical experiments demonstrate that the method is capable of extracting risk neutral densities with complex …

, requiring sensitivity calculations for non-cleared deals (e.g. callable exotic/structured products) for a large set of risk …

This paper investigates the informational content implied in the risk-neutral distribution of the VIX, a leading … barometer of economic uncertainty. We extract the risk-neutral distribution from VIX option prices over the sample period from … whether the information implied in the risk-neutral distribution has predictive power. The risk-neutral distribution …