A Bayesian beta Markov random field calibration of the term structure of implied risk neutral densities (Q273640): Difference between revisions
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Bayesian inference | |||
| Property / zbMATH Keywords: Bayesian inference / rank | |||
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beta Markov random fields | |||
| Property / zbMATH Keywords: beta Markov random fields / rank | |||
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exchange Metropolis Hastings | |||
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risk neutral measure | |||
| Property / zbMATH Keywords: risk neutral measure / rank | |||
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density calibration | |||
| Property / zbMATH Keywords: density calibration / rank | |||
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distortion function | |||
| Property / zbMATH Keywords: distortion function / rank | |||
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Revision as of 17:03, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Bayesian beta Markov random field calibration of the term structure of implied risk neutral densities |
scientific article |
Statements
A Bayesian beta Markov random field calibration of the term structure of implied risk neutral densities (English)
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22 April 2016
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Bayesian inference
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beta Markov random fields
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exchange Metropolis Hastings
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risk neutral measure
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density calibration
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distortion function
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