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 …

During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

This paper develops a closed-form option valuation formula for a spot asset whose variance
follows a GARCH () process that can be correlated with the returns of the spot asset. It …

A relationship exists between aggregate risk-neutral and subjective probability distributions
and risk aversion functions. We empirically derive risk aversion functions implied by options …

This paper discusses extensions of the implied diffusion approach of Dupire (1994) to asset
processes with Poisson jumps. We show that this extension yields important model …

The central insight of asset pricing is that a security's value depends both on its distribution
of payoffs across economic states and on state prices. In fixed income markets, many …

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 novel approach, standard and implied binomial trees are completely specified in terms
of two basic inputs: the ending nodal probability distribution and a linear weight function …

This book deals with many topics in modern financial mathematics in a way that does not
use advanced mathematical tools and shows how these models can be numerically …

All methods for estimating the risk-neutral density from the volatility smile boil down to the
completion of the implied volatility function by interpolating between available strike prices …