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 …

This paper examines the absolute and relative robustness of two of the most common
methods for estimating implied probability density functions (PDFs)–the double-lognormal …

The market's risk neutral probability distribution for the value of an asset on a future date can
be extracted from the prices of a set of options that mature on that date, but two key technical …

This book covers foreign exchange options from the point of view of the finance practitioner.
It contains everything a quant or trader working in a bank or hedge fund would need to know …

This paper develops a comprehensive new framework to measure and analyze sovereign
risk. Contingent claims analysis is used to construct a marked-to-market balance sheet for …

We study the relationship between investors' active attention, measured by a Google search
volume index (SVI), and the dynamics of currency prices. Investor attention is correlated with …

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 …

This paper examines the effects of terrorism on stock market sentiment by focusing on the
behavior of expected probability density functions of the FTSE 100 index around terrorist …

We investigate whether there are predictable patterns in the dynamics of higher-order risk-
neutral moments (RNMs) extracted from the market prices of Standard & Poor's (S&P) 500 …

Using sovereign CDS spreads and currency option data for Mexico and Brazil, we document
that CDS spreads covary with both the currency option implied volatility and the slope of the …