We apply a two-step strategy to forecast the dynamics of the volatility surface implicit in option prices to all American-style options written on the stocks that have entered the Dow Jones Industrial Average Index between 2004 and 2016. We explore whether the implied volatilities extracted...

This dissertation consists of three papers referring to the pricing of insurance-linked securities, while a fourth one deals with investigating the dynamics of foreign exchange implied volatility and correlation surfaces. The first paper proposes a novel risk-neutral pricing approach for...