Trading in options with a wide range of exercise prices and a single maturity allows a
researcher to extract the market's risk-neutral density (RND) over the underlying price at …

We re-visit the model-free methodology of the new VIX, and review how its counterparts are
estimated empirically across the world. Then, we modify its parameter selection procedure …

Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of
the recent research results in pricing models of derivatives on discrete realized variance and …

Curve-fitting methods construct a curve, or a surface, that has the best fit to a series of data
points and disregards unnecessary fluctuations empirically. There are three types of curve …

This thesis comprises of three essays on derivatives markets. The first essay revisits the
model-free methodology of the implied volatility index (VIX) and its global counterparts as …

In this paper, we provide an alternative framework for constructing an arbitrage-free
European-style option surface. The main motivation for our work is that such a construction …

This thesis contributes to the literature on assets that will be probably stranded due to
energy transition. We concentrate on investors' beliefs about the value of the fossil fuel …