Spectral risk measures (SRMs) are risk measures that take account of user riskaversion, but to date there has been little guidance on the choice of utility function underlying them. This paper addresses this issue by examining alternative approaches based on exponential and power utility...

This paper sets out a methodology for constructing fan charts for the government deficit and debt ratios over the medium-term. It relies on information contained in Stability/Convergence Programme Updates, a model of the relevant stochastic process (for example, the real GDP process) or...

Spectral risk measures (SRMs) are risk measures that take account of user risk-aversion, but to date there has been little guidance on the choice of utility function underlying them. This paper addresses this issue by examining alternative approaches based on exponential and power utility...

This paper proposes a simulation-lattice procedure to estimate financial risk measures for option positions. The framework proposed can be applied to many different kinds of options, including exotic and vanilla options; it can take account of early exercise features; heavy tails in underlying...

This paper carries out a comparative analysis of the calibration and performance of a variety of options pricing models. These include Black and Scholes (J Polit Econ 81:637–659, <CitationRef CitationID="CR6">1973</CitationRef>), the Gram–Charlier (GC) approach of Backus et al. (<CitationRef CitationID="CR4">1997</CitationRef>), the stochastic volatility (HS) model of Heston...</citationref></citationref>