Forecasting
Extreme Volatility of FTSE100 With Model Free VFTSE, CarrWu and Generalized
Extreme Value (GEV) Option Implied Volatility Indices
http://www.essex.ac.uk/economics/discussionpapers/Paperstext/dp713.pdf
Economics Department Discussion Paper
No. 713, University of Essex, April 2012.
The
Generalized Extreme Value (GEV)Distribution, Implied Tail Index and
Option Pricing Sheri Markose and Amadeo Alentorn, Economics Department, University of Essex, Discussion Paper 594, April 2005.(pdf version) [Abstract] 

Papers from the EDDIE Project


Sheri
Markose and Amadeo Alentorn
Generalized Extreme Value Distribution and Extreme Economic Value at
Risk (EEVaR) WP01307: Centre for Computational Finance and Economic Agents Now published as Markose, S.M., and A. Alentorn, 2008, "Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EEVaR)" Chapter in Computational Methods in Financial Engineering edited by EJ Kontoghiorghes, B. Rustem and P. Winker in honour of Manfred Gilli, Springer Verlag. 

Amadeo Alentorn and Sheri Markose, Removing maturity effects of implied risk neutral densities and related statistics WP00206: Centre for Computational Finance and Economic Agents


Evolutionary Decision Trees
For Stock Index Options And Futures Arbitrage(Published July 2002,
In, Genetic Algorithms and Genetic Programming in Computational Finance, Edited by ShuHeng Chen, Kluwer Academic Publishers, (ISBN 0792376013). 

The Black (1976) Effect And
Cross Market Arbitrage In FTSE100 Index Futures And
Options Economics Department Discussion Paper, No. 522, University of Essex, April 2000. 
