Minimum-Relative-Entropy Calibration of Asset-Pricing Models

From MaRDI portal
Revision as of 10:58, 3 February 2024 by Import240129110113 (talk | contribs) (Created automatically from import240129110113)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Publication:2703108

DOI10.1142/S0219024998000242zbMath0979.91024OpenAlexW2082028133MaRDI QIDQ2703108

Marco Avellaneda

Publication date: 25 February 2002

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024998000242




Related Items (32)

Deformed exponentials and applications to financeLimiting distributions for minimum relative entropy calibrationRobust identification of investor beliefsRandomization and entropy in machine learning and data processingMathematical methods of randomized machine learningAnalysis of a micro-macro acceleration method with minimum relative entropy moment matchingIn memoriam: Marco Avellaneda (1955–2022)Einstein's equations and the pseudo-entropy of pseudo-Riemannian information manifoldsMonte Carlo approximate tensor moment simulationsSolutions to integro-differential problems arising on pricing options in a Lévy marketDispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzleMinimal Kullback–Leibler Divergence for Constrained Lévy–Itô ProcessesCONVEX REGULARIZATION OF LOCAL VOLATILITY ESTIMATIONWEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELSPRICING DERIVATIVE SECURITIES USING CROSS-ENTROPY: AN ECONOMIC ANALYSISOption pricing and Esscher transform under regime switchingA connection between uniqueness of minimizers in Tikhonov-type regularization and Morozov-like discrepancy principlesDynamic portfolio management with views at multiple horizonsESTIMATING UNIVARIATE DISTRIBUTIONS VIA RELATIVE ENTROPY MINIMIZATION: CASE STUDIES ON FINANCIAL AND ECONOMIC DATAAUTOMATED OPTION PRICING: NUMERICAL METHODSCONFRONTING MODEL MISSPECIFICATION IN FINANCE: TRACTABLE COLLECTIONS OF SCENARIO PROBABILITY MEASURES FOR ROBUST FINANCIAL OPTIMIZATION PROBLEMSAN ACCURATE VALUATION OF ASIAN OPTIONS USING MOMENTSEntropic calibration revisitedPricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approachIncorporating views on marginal distributions in the calibration of risk modelsEVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACHINFORMATION, MODEL PERFORMANCE, PRICING AND TRADING MEASURES IN INCOMPLETE MARKETSEQUITY CORRELATIONS IMPLIED BY INDEX OPTIONS: ESTIMATION AND MODEL UNCERTAINTY ANALYSISA linear goal programming method to recover risk neutral probabilities from options prices by maximum entropyMartingale Schrödinger bridges and optimal semistatic portfoliosCalibrating probability distributions with convex-concave-convex functions: application to CDO pricingRobust risk measurement and model risk




Cites Work




This page was built for publication: Minimum-Relative-Entropy Calibration of Asset-Pricing Models