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 …

-implied information in cross-sectional forecasting of equity returns. We discuss how option-implied information can be adjusted for risk …

The stock options implied volatility skew reflects both the structural risk characteristics of the underlying company … default risk. The model can explain as much as 44\% of the cross-sectional variation in implied volatility skew and is …-sectional option pricing model to separate the structural risk contributions from the information flow. The model identifies two …

The small-maturity implied volatility of an asset pricing model is fully determined by the asymptotics of traded option … a general formula for the leading order of the in-the-money and out-of the money implied volatility skew. We apply this …