Event Risk

Uncertainty & Ambiguity in Finance featured image

Uncertainty & Ambiguity in Finance

Measuring, pricing, and hedging the fact that investors do not know the true distribution of returns.

Event Risk Premia and Non-Convex Volatility Smiles featured image

Event Risk Premia and Non-Convex Volatility Smiles

We analyze event risk premia in an expected utility framework and provide closed-form solutions under both quadratic and power utility for four different cases: …

michael-hanke