The statistics that summarise probability density functions (pdfs) implied from option prices can be used to assess market expectations about future uncertainty, asymmetry and the probability of extreme movements in asset prices. A time-series analysis of these statistics for equity index and...

This paper analyses the differences between forward (risk-neutral expectation) and realised variance. Four different assets are examined: Samp;P 500, FTSE 100, eurodollar and short sterling futures. Model-free measures of risk-neutral forward variance are estimated using the full cross section...

This paper analyses the differences between forward (risk-neutral expectation) and realized variance. Four different assets are examined: Samp;P 500, FTSE 100, eurodollar and short sterling futures. Model-free measures of risk-neutral forward variance are estimated using the full cross section...

The statistics that summarise the probability distributions implied from option prices can be used to assess market expectations about future uncertainty, asymmetry and the probability of extreme movements in asset prices. This paper considers implied pdfs with a constant horizon of three months...

The statistics that summarise the probability distributions implied from option prices can be used to assess market expectations about future uncertainty, asymmetry and the probability of extreme movements in asset prices. This paper considers implied pdfs with a constant horizon of three months...

The volume of litigation on Uniform Commercial Code Article 2, along with the rise of e-commerce, raises the question of whether Article 2 can succeed in the twenty-first century. There are, of course, many ways to measure success or failure of legislation. One strategy, applied here, is to...

Covid-19 and the associated restrictions on interaction have led to an unprecedented shock to activity and firms’ balance sheets. To assess the impact, this paper applies a new large-scale firm-level simulation model calibrated to the United Kingdom (UK). The paper specifically examines the...