Often neither the exact density nor the exact cumulative distribution function (c.d.f.) of a statistic of interest is available in the statistics and econometrics literature (e.g., the maximum ...

The Annals of Applied Probability, Vol. 26, No. 2 (April 2016), pp. 794-817 (24 pages) We consider a financial model where the prices of risky assets are quoted by a representative market maker who ...

Fitting SPX and Vix smiles simultaneously is one of the most challenging problems in volatility modelling. A long-standing conjecture is that it may not be possible to jointly calibrate these two ...