Warwick Business School
Coventry CV4 7AL
University of Warwick - Financial Options Research Centre (FORC)
in Total Papers Downloads
in Total Papers Citations
commodity prices, futures, Kalman filter, reduced-form model
good deal bounds, model-uncertainty-induced preference functional, asset pricing theory, Knightian uncertainty, model uncertainty, contingent claim pricing
long-shot bias, gambling, option prices, implied volatilities
arbitrage, good deal, virtually desirable claim, state price functional, incomplete market, reward for risk measure, Generalized Sharpe Ratio, admissible price region, equivalent martingale measure
Implied volatility, Parametric model, Kummer function, SVI model
Time variation, Market risk premium, Price of risk, Equilibrium
bid-ask spread, market microstructure, liquidity, Gibbs Sampler, Bayesian Model Comparision
Overconfident Forecasts, Portfolio Optimisation, Sharpe Ratio, Measure of Expected Utility, Manager Skill, Forecast Errors
Investment, Portfolio Selection, Financial Forecasts, Efficient Use of Investment Information, Uncertainty, Optimal Portfolio, Correlation, Bayesian Analysis, MLE
Multivariate density forecasting, distributional tests, empirical characteristic function, Value at Risk, mixture of normal.
Smile-consistent stochastic volatility models,
Implied Risk-Neutral Distribution, RND, Implied Volatility Smiles, Probability Integral Transform, Options, Goodness-of-Fit Tests, NIG
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