The implied volatility became one of the key issues in modern quantitative finance, since the plain vanilla option prices contain vital information for pricing and hedging of exotic and illiquid options. European plain vanilla options are nowadays widely traded, which results in a great amount...

The simulation of risk processes is a standard procedure for insurance companies. The generation of simulated (aggregated) claims is vital for the calculation of the amount of loss that may occur. Simulation of risk processes also appears naturally in rating triggered step-up bonds, where the...

In this paper we investigate the profitability of 'skewness trades' and 'kurtosis trades' based on comparisons of implied state price densities versus historical densities. In particular, we examine the ability of SPD comparisons to detect structural breaks in the options market behaviour. While...

Modern statistical computing requires smooth integration of new algorithms and quantitative analysis results in all sorts of platforms such as webbrowsers, standard and proprietary application software. Common statistical software packages can often not be adapted to integrate into new...

In this paper we propose the GHADA risk management model that is based on the generalized hyperbolic (GH) distribution and on a nonparametric adaptive methodology. Compared to the normal distribution, the GH distribution possesses semi-heavy tails and represents the financial risk factors more...