Many numerical optimization methods use scenario trees as a discrete approximation for the true (multi-dimensional) probability distributions of the problem's random variables. Realistic specifications in asset-liability management (ALM) models can lead to tree sizes that quickly become...

We compare risk-neutral densities from equity index options across several markets during the early phase of the COVID-19 pandemic. These densities reflect market expectations regarding its economic impact. The markets reacted abruptly and simultaneously initially, but with a marked time lag...

Corporate sports sponsorship is an important part of many companies' corporate communication strategy. We take the example of major football tournaments to show that sponsorship indeed affects the sponsor's (stock) market value. We find a statistically significant impact of football results (at...