Amadeo Alentorn | University of Essex (original) (raw)
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Papers by Amadeo Alentorn
Http Dx Doi Org 10 3905 Jod 2011 18 3 035, Feb 23, 2011
When studying a time series of implied Risk Neutral Densities (RNDs) or other implied statistics,... more When studying a time series of implied Risk Neutral Densities (RNDs) or other implied statistics, one is faced with the problem of maturity dependence, given that option contracts have a fixed expiry date. Therefore, estimates from consecutive days are not directly comparable. Further, we can only obtain implied RNDs for a limited set of expiration dates. In this paper we introduce two new methods to overcome the time to maturity problem. First, we propose an alternative method for calculating constant time horizon Economic Value at Risk (EVaR), which is much simpler than the method currently being used at the Bank of England. Our method is based on an empirical scaling law for the quantiles in a log-log plot, and thus, we are able to interpolate and extrapolate the EVaR for any time horizon. The second method is based on an RND surface constructed across strikes and maturities, which enables us to obtain RNDs for any time horizon. Removing the maturity dependence of implied RNDs an...
The 1987 stock market crash, the LTCM debacle, the Asian Crisis, the bursting of the high technol... more The 1987 stock market crash, the LTCM debacle, the Asian Crisis, the bursting of the high technology Dot-Com bubble of 2001-2 with 30% losses of equity values, events such as 9/11 and sudden corporate collapses of the magnitude of Enron - have radically changed the view that extreme events have negligible probability. The well known drawback of the Black-Scholes model
2010 UK Workshop on Computational Intelligence (UKCI), 2010
Computational Methods in Financial Engineering, 2008
The Journal of Derivatives, 2011
Journal of Economic Dynamics and Control, 2007
Journal of Economic Dynamics and Control, 2007
IEEE Transactions on Industrial Electronics, 2000
Http Dx Doi Org 10 3905 Jod 2011 18 3 035, Feb 23, 2011
When studying a time series of implied Risk Neutral Densities (RNDs) or other implied statistics,... more When studying a time series of implied Risk Neutral Densities (RNDs) or other implied statistics, one is faced with the problem of maturity dependence, given that option contracts have a fixed expiry date. Therefore, estimates from consecutive days are not directly comparable. Further, we can only obtain implied RNDs for a limited set of expiration dates. In this paper we introduce two new methods to overcome the time to maturity problem. First, we propose an alternative method for calculating constant time horizon Economic Value at Risk (EVaR), which is much simpler than the method currently being used at the Bank of England. Our method is based on an empirical scaling law for the quantiles in a log-log plot, and thus, we are able to interpolate and extrapolate the EVaR for any time horizon. The second method is based on an RND surface constructed across strikes and maturities, which enables us to obtain RNDs for any time horizon. Removing the maturity dependence of implied RNDs an...
The 1987 stock market crash, the LTCM debacle, the Asian Crisis, the bursting of the high technol... more The 1987 stock market crash, the LTCM debacle, the Asian Crisis, the bursting of the high technology Dot-Com bubble of 2001-2 with 30% losses of equity values, events such as 9/11 and sudden corporate collapses of the magnitude of Enron - have radically changed the view that extreme events have negligible probability. The well known drawback of the Black-Scholes model
2010 UK Workshop on Computational Intelligence (UKCI), 2010
Computational Methods in Financial Engineering, 2008
The Journal of Derivatives, 2011
Journal of Economic Dynamics and Control, 2007
Journal of Economic Dynamics and Control, 2007
IEEE Transactions on Industrial Electronics, 2000