Carbon risk has generated significant adverse impacts on firms, investors and other
stakeholders. Carbon disclosure may provide market participants with information to …

It has been a while since the literature on the pricing kernel puzzle was summarized in
Jackwerth (Option-implied risk-neutral distributions and risk-aversion, The Research …

Using a utility function to adjust the risk‐neutral PDF embedded in cross sections of options,
we obtain measures of the risk aversion implied in option prices. Using FTSE 100 and S&P …

Analysts are accustomed to using prices for the information they contain. A stock price, for
example, can be thought of as an expected value of future cash flows. Each futures price …

Risk-neutral and real-world densities are derived from option prices and risk assumptions,
and are compared with historical densities obtained from time series. Two parametric risk …

Investors' risk aversion functions can be derived from the risk neutral probability density
functions (RN-PDFs) and an assumed well-behaved functional form for the utility function …

A comprehensive guide to financial engineering that stresses real-world applications
Financial engineering expert Charles S. Tapiero has his finger on the pulse of shifts coming …

We compare equilibrium jump diffusion option prices with endogenously determined
stochastic dominance (SD) option bounds. We use model parameters from earlier studies …

Since 1998, large investment banks have become active as issuers of options, generally
referred to as call warrants or bank‐issued options. This has led to an interesting situation in …

A famous theorem of Hilbert from 1888 states that for given n and d, every positive
semidefinite (psd) real form of degree 2d in n variables is a sum of squares (sos) of real …