The variance risk premium, defined as the difference between the actual and risk-neutral
expectations of the forward aggregate market variation, helps predict future market returns …

This paper shows that low‐risk anomalies in the capital asset pricing model and in
traditional factor models arise when investors require compensation for coskewness risk …

After the recent financial crisis, the market for volatility derivatives has expanded rapidly to
meet the demand from investors, risk managers and speculators seeking diversification of …

An increase in a country's sovereign risk, as measured by credit default swap spreads, is
accompanied by a contemporaneous depreciation of its currency and an increase of its …

This paper studies variance risk premiums in the Treasury market. We first develop a theory
to price variance swaps and show that the realized variance can be perfectly replicated by a …

It is well documented that less risky assets tend to outperform their riskier counterparts
across asset classes. This paper provides a structured summary of the current state of …

This paper introduces a new tail-risk measure based on the risk-neutral excess expected
shortfall of a cross-section of stock returns. We propose a novel way to risk neutralize the …

We study time-variation in the shape of the distribution of stock returns. In a global sample
covering 17 countries, returns are more left-skewed and fat tailed during good times than …

Realized divergence measures the distinct realized moments associated with time-varying
uncertainty. It is tradeable with divergence swaps engineered from delta-hedged option …

We propose a novel model-free approach to obtain the joint risk-neutral distribution among
several assets that is consistent with options on these assets and their weighted index. We …