Among the most challenging aspects of the options market is that the ecosystem is structured as a multiverse. Rather than ...

Implied volatilities diverged across asset classes last week on the back of rising geopolitical tensions in the Middle East, ...

In this paper we propose a new pricing methodology for European-style multi-asset derivatives based on a family of normal mean–variance mixture copulas. The goal is to develop a copula-based method ...

There is strong evidence of a negative cross-sectional relationship between realized skewness and future stock returns - stocks with negative skewness are compensated with high future returns for ...

In this paper the multivariate skew normal distribution, introduced by Azzalini and Dalla Valle (1996), is used as a basis in density expansions. A short summary of main properties of the distribution ...