In this paper, we propose a methodology for measuring information flows underpinning option price movements, and for analyzing the distribution of these flows. We develop a framework in which flows of information can be measured in terms of relative entropy between risk-neutral distributions...

While a lot of research concentrates on the respective merits of VaR and TCE, which are the two most classic risk indicators used by financial institutions, little has been written on the equivalence between such indicators. Further, TCE, despite its merits, may not be the most accurate...

In this paper, we study various ways of changing probability measures with applications to Finance and Insurance. Changes of numéraire and Esscher transforms are considered, just as pricing kernels which are, in a complementary direction, a means of keeping a privileged probability measure....