There is a close link between prices of equity options and the default probability of a firm. We show that in the presence of positive expected equity recovery, standard [...]

This chapter surveys the methods available for extracting information from option prices that can be used in forecasting. We consider option-implied volatilities, skewnes[...]

We measure uncertainty surrounding the central bank’s future policy rates using implied volatility computed from interest rate option prices and realized volatility compu[...]

Peter Christoffersen passed away on June 22, 2018 at an early age. He was one of the most prolific and gifted researchers in the area of derivatives, combining a very str[...]

We present a novel method for extracting the risk‐neutral probability of default (PD) of a firm from American put option prices. Building on the idea of a default corrido[...]