A model/hedging performance is relatively poorly covered in the literature. This is
particularly valid for general portfolios including both vanilla and exotic instruments …

This paper introduces a new computational tool for the analysis of the risks embedded in a
set of prices of European-style options. The software enables the estimation of the risk …

“The future has to be based on more a dynamic belief in how markets work and how
distributions unfold. Most of risk management technology is based on looking backwards not …

Given the valuable information content of Arrow-Debreu prices, the recovery of a well
behaved state price density is of considerable importance. However, this is a non-trivial task …

The aim of this paper is twofold. Firstly, we derive an explicit expression of the (theoretical)
solutions of stochastic differential equa-tions with affine coefficients driven by α-stable white …

The CBOE volatility index, VIX, represents the market's expected volatility over the next 30
days, and is supposed to increase when uncertainty rises. Over the last years, this index has …