Describes a method of extracting the risk-neutral probability distribution of future exchange
rates from option prices. Over-the-counter currency option markets; How to estimate the risk-…

This paper describes a procedure for estimating the market's perceived probability distribution
of future exchange rates from the prices of risk reversals, strangles and other currency …

… Now, in Financial Risk Management, author Allan Malz addresses the essential issues
surrounding this discipline, sharing his extensive career experiences as a risk researcher, risk …

This paper describes a method of extracting the risk-neutral probability distribution of future
exchange rates from option prices. In foreign exchange markets interbank option pricing …

This paper describes a method for computing risk-neutral density functions based on the
option-implied volatility smile. Its aim is to reduce complexity and provide cookbook-style …

The GameStop stock trading episode that began in January 2021 has been unprecedented
in some ways, especially in the ability of market participants to organize collective action …

This technical document details the long-term forecasting and scenario generation
methodologies in LongRun. It contains two sets of techniques for computing forecast values and …

Implied volatility can signal that market turmoil has become more likely in the near future.
Statistical evidence is presented indicating that implied volatility contains information regarding …

This paper surveys the behavior of forward-looking asset prices during market crises, with
particular focus on historical and implied volatilities. We focus on two specific episodes, the …

Risk reversals are a combination of options from which price information about market
expectations of future exchange rates can be extracted. This paper describes a procedure for …