A Bayesian beta Markov random field calibration of the term structure of implied risk neutral densities

DOI10.1214/15-BA960SIzbMath1334.62180arXiv1409.1956OpenAlexW1591544538MaRDI QIDQ273640

Roberto Casarin, Fabrizio Leisen, German Molina, Enrique ter Horst

Publication date: 22 April 2016

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.1956

zbMATH Keywords

Bayesian inferencebeta Markov random fieldsdensity calibrationdistortion functionexchange Metropolis Hastingsrisk neutral measure

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Bayesian inference (62F15) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Bayesian Nonparametric Calibration and Combination of Predictive Distributions

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