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June 19, 2013

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Subject/Keyword: Smile

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1. Title: Why Does Bad News Increase Volatility and Decrease Leverage?   Author/Editor: Fostel, Ana ; Geanakoplos, John   Series: Working Paper No. 10/206   Published: September 01, 2010   Subject(s): Asset prices | Business cycles | Debt | Economic models | External shocks | Financial crisis | Housing | Housing prices | Price elasticity   Author's Keyword(s): Endogenous Leverage | Post-Bad News Volatility | Post-Good News Volatility | Volatility Smile.   2. Title: The option-iPoD. The Probability of Default Implied by Option Prices based on Entropy   Author/Editor: Capuano, Christian   Series: Working Paper No. 08/194   Published: August 01, 2008   Subject(s): Credit | Bond markets | Risk management | Financial risk | Financial institutions   Author's Keyword(s): endogenous default barrier | cross-entropy | option contracts | volatility smile.   3. Title: Deriving Market Expectations for the Euro-Dollar Exchange Rate from Option Prices   Author/Editor: Krichene, Noureddine   Series: Working Paper No. 04/196   Published: October 01, 2004   Subject(s): Emerging markets | Euro | U.S. dollar | Exchange rates | Prices | Economic models   Author's Keyword(s): Exchange rates | Finite difference | Implied risk-neutral distribution | Inverse problem | Market expectations | Option prices | Smile | State prices | Volatility

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