Papers

This page lists selected papers, research outputs, and work in progress.
As my current research is still under development, only high-level information is provided here.

Working Papers

Option-Implied Information and Tail Risk

Status: Working paper in progress
Area: Option-implied information, tail risk, market risk

This paper studies option-implied distributional information and its relationship with market conditions and downside risk. The current version is under development.

Option-Implied Density and Financial Risk Measurement

Status: Working paper in progress
Area: Option-implied densities, density forecasting, VaR, Expected Shortfall

This project focuses on option-implied density forecasting and the evaluation of financial risk measures from a risk-management perspective.

Work in Progress

Sector-Level Option-Implied Information

Status: Early-stage research
Area: ETF options, sector-level information, option-implied distributions

This project explores whether sector-level derivatives markets provide useful information beyond broad market index options.

Numerical Methods for Implied Distribution Recovery

Status: Methodological research in progress
Area: Computational finance, derivative pricing, implied distribution recovery

This line of work explores numerical and computational methods for recovering and analysing implied distributions from derivative prices.

Conference Presentations

Conference presentations will be added here when available.