Implied Distributions from GBPUSD Risk-Reversals and Implication for Brexit Scenarios

Determining and benchmarking risk neutral distributions implied from option prices

Implied fractional hazard rates and default risk distributions

Default probability distributions are often defined in terms of their conditional default probability distribution, or their hazard rate. By their definition, they imply a unique probability density function. The applications of default probability distributions are varied, including the risk premium model used to price default bonds, reliability measurement models, insurance, etc. Fractional p...

Detecting Implied Scenarios in MSCs Using LTSA

Scenario-based specifications such as Message Sequence Charts (MSCs) are becoming increasingly popular as part of a requirements specification. Scenarios describe how system components, the environment and users working concurrently interact in order to provide system level functionality. Each scenario is a partial story which, when combined with other scenarios, should conform to provide a com...

How Useful are Implied Distributions? Evidence from Stock-Index Options

SPRING 2000 THE JOURNAL OF DERIVATIVES 1 Option prices can reveal implied (risk-neutral) distributions, but it is not clear whether these are useful for forecasting or hedging or for revealing the current sentiment of investors. The authors estimate the implied distribution for stock index options in London as a mixture of two lognormals over the period 1987-1997 and find that this method is mu...

Degradation models and implied lifetime distributions

In experiments where failure times are sparse, degradation analysis is useful for the analysis of failure time distributions in reliability studies. This research investigates the link between a practitioner’s selected degradation model and the resulting lifetime model. Simple additive and multiplicative models with single random effects are featured. Results show that seemingly innocuous assum...