volatility jump diffusion model …

about the marginal risk-neutral distributions of S&P 500 returns and of relative changes in future expected volatility (VIX … on long-dated index options. We estimate the risk-neutral asymmetric volatility implied correlation and find it to be … significantly lower than its realized counterpart. We interpret the economics of the asymmetric volatility correlation risk premium …

by applying ‘extreme value theory', and then use these measures to investigate the information content of option …-implied tail risk on the future returns of the underlying assets. Our empirical analysis shows that both tail measures implied by S … tail-risk premium …

We consider fundamental questions of arbitrage pricing arising when the uncertainty model incorporates volatility … such sets when volatility uncertainty is modeled by a stochastic differential equation, driven by Peng's G-Brownian motion. …

We present a new option-pricing model, which explicitly captures the difference in the persistence of volatility under … historical and risk-neutral probabilities. The model also allows to capture the empirical properties of pricing kernels, such as … time-variation and the typical S-shape. We apply our model for two purposes. First, we analyze the risk preferences of …

between catastrophe risk and the implied volatility smile of insurance stock options. We find that the slope is significantly …, suggesting a higher risk compensation for catastrophic events. We are able to link the insurance-specific tail risk component … derived from options with the risk spread from catastrophe bonds. Our results provide an accurate, high-frequency calculation …

volatility risk. While pointing out the joint pricing kernel is not identified nonparametrically, we propose model-free estimates … of marginal pricing kernels of the market return and volatility conditional on the VIX. We find that the pricing kernel … present a U-shape. Hence, stochastic volatility is the key state variable responsible for the U-shape puzzle documented in the …

such risk neutral probability. Given a well-interpolated volatility surface from market data, the risk neutral probability …The risk neutral measure is identified as a symmetric location-scale family of distribution in the local regime of the … λ model. A partial differential equation is derived as the transformation between the implied volatility surface and …

This paper provides a number of relevant guidelines to build a consistent Volatility Smile accounting for the FX market … Quadratic Polynomial. In addition, the Risk Neutral Density is estimated with the first two models. It is shown that not … risk management, portfolio selection, and financial event studies …