The departure in modelling terms from the log-normal distribution for option pricing has been largely driven by empirical observations on skewness. In recent years, the Weibull and generalized beta distributions have been used to fit the risk-neutral density from option prices. In this article,...

Value at Risk has lost the battle against Expected Shortfall on theoretical grounds, the latter satisfying all coherence properties while the former may, on carefully constructed cases, lack the sub-additivity property that is in a sense, the most important property a risk measure ought to...