This paper gives an arbitrage-free prediction for future prices of an arbitrary co-terminal set of options with a given maturity, based on the observed time series of these option prices. The statistical analysis of such a multi-dimensional time series of option prices corresponding to n strikes...

In this paper we develop a framework for asset-liability management for pension funds in a time-varying volatility environment. We use sophisticated dynamic econometric models for the variances-covariances of the asset classes in which the pension fund is investing, while keeping the liability...

This paper tests whether it is possible to improve point, quantile and density forecasts of realized volatility by conditioning on macroeconomic and financial variables. We employ quantile autoregressive models augmented with a plethora of macroeconomic and financial variables. Complete subset...