This chapter presents an action‐based supply chain risk management framework that has
emerged from industry practice and academic research. For practitioners, this conceptual …

Building on the method of Ludwig (2015) to construct robust state price density surfaces from
snapshots of option prices, we develop a nonparametric estimation strategy for the recovery …

There exists a significant and positive cross-sectional relation between moneyness spread
and future stock returns. Stocks with high moneyness spread outperform stocks with low …

In this paper, we employ the intraday transaction prices of liquid E-mini S&P 500 index
futures options to form 10-min ahead risk-neutral skewness forecasts and show profitable …

This paper proposes a tail risk index, TIX, as the growth rate of the model-free cumulant
generating function of market risk calculated from index option prices. It captures the power …