The literature on private information as a source of trade is probably most well known via the seminal work by Jean Tirole and Paul Milgrom and Nancy Stokey. We consider an arbitrage opportunity to be the result of the existence of such private information. We are interested to propose a model...

Options are believed to contain unique information about the risk-neutral probability density function or risk-neutral moment generating function (mgf hereafter). The wavelet approach is appealing in approximating or reconstructing time-varying functions and it provides a natural platform for...

"The 2008 financial crisis was a watershed moment which clearly influenced the public's perception of the role of 'finance' in society. Since 2008, a plethora of books and newspaper articles have been produced accusing the academic community of being unable to produce valid models which can...