Market prices of financial derivatives such as options are directly observable. This
information can be used to recover an unobservable local volatility function for the …

This book is an ambitious effort by three well-known and well-respected scholars to fill an
acknowledged void in the literature—a text covering the burgeoning field of empirical …

During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

Implicit in the prices of traded financial assets are Arrow–Debreu prices or, with continuous
states, the state‐price density (SPD). We construct a nonparametric estimator for the SPD …

Typical value-at-risk (VaR) calculations involve the probabilities of extreme dollar losses,
based on the statistical distributions of market prices. Such quantities do not account for the …

Much of the work on path-dependent options assumes that the underlying asset price
follows geometric Brownian motion with constant volatility. This paper uses a more general …

To properly align incentives using equity-linked compensation, the firm's managers must be
exposed to firm-specific risks, but this concentrated exposure prevents optimal portfolio …

We answer this question by comparing the risk-neutral density estimated in complete
markets from cross-section of S&P 500 option prices to the risk-neutral density inferred from …

This paper proposes a new nonparametric method for estimating the conditional risk-neutral
density (RND) from a cross-section of option prices. The idea of the method is to fit option …

The customer base is an important value driver of software companies and a reliable
prediction of its development is fundamental for investment decisions. A particularity in …