Financial Engineering With Extreme Events and Computational Finance

    Forecasting Extreme Volatility of FTSE-100 With Model Free VFTSE, Carr-Wu and Generalized Extreme Value (GEV) Option Implied Volatility Indices
       
 http://www.essex.ac.uk/economics/discussion-papers/Papers-text/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 (EE-VaR)
WP013-07: 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 (E-EVaR)" 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 

WP002-06: 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 Shu-Heng Chen, 
Kluwer  Academic Publishers
,
(ISBN 0-7923-7601-3)
.
The Black (1976) Effect And Cross Market Arbitrage In FTSE-100 Index Futures And Options
Economics Department Discussion Paper, No. 522, University of Essex, April 2000.