In this partial and selective literature review of option implied risk-neutral distributions and of
implied binomial trees, we start by observing that in efficient markets, there is information …

This book shows how current and recent market prices convey information about the
probability distributions that govern future prices. Moving beyond purely theoretical models …

Tap into the power of the most popular stochastic volatility model for pricing equity
derivatives Since its introduction in 1993, the Heston model has become a popular model for …

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 …

In a recent paper, Shadwick and Keating (2002b) present a new measure of performance
called Omega. According to the authors, Omega was developed to overcome the …

We introduce a novel stochastic volatility model where the squared volatility of the asset
return follows a Jacobi process. It contains the Heston model as a limit case. We show that …

This paper provides an industry standard on how to quantify the shape of the implied
volatility smirk in the equity index options market. Our local expansion method uses a …

In this paper, the pricing of American options whose asset price dynamics follow Azzalini Itô-
McKean skew Brownian motions is considered. The corresponding optimal stopping time …

We propose a new methodology for modeling and estimating time-varying downside risk
and upside uncertainty in equity returns and for assessment of risk–return trade-off in …

Crisis events such as the 1987 stock market crash, the Asian Crisis and the bursting of the
Dot-Com bubble have radically changed the view that extreme events in financial markets …