This paper revisits the pricing of options, in a context of financial stress, when the underlying asset’s returns displays skewness and excess kurtosis.

Non normal distributions are a fact of life. In the financial world, many distributions display tail risk, i.e. (negative) skewness and excess kurtosis.

The scarcity of up-to-date data is a meaningful constraint in the analysis of capital flows, especially for Emerging Markets.

The corporate bond indices, built by market index providers to serve as investment benchmarks, contain a great many securities, and are for that reason...

On average, socially responsible (SR) funds have showed statistically similar performances to traditional funds. Does this mean SR screens make a negligible...

This paper addresses management of sovereign wealth from the perspective of the theory of contingent claims.

The admission by the Greek government on October 18, 2009, of large-scale accounting fraud in its national accounts sparked an unprecedented sovereign...

This paper sets out a new analytical framework for optimal asset allocation of sovereign wealth, based on the theory of contingent claims analysis applied...

According to the macro-econometric literature, the impact of exogenous oil price shocks on Inflation have greatly increased in the last two decades throughout...

The standard indices available for the bond investment markets, are composed of securities that are weighed by the size of the outstanding debt, and are...