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

Bayesian Nonparametric Calibration and Combination of Predictive Distributions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Beta Regression for Modelling Rates and Proportions
• The Pricing of Options and Corporate Liabilities
• Combining predictive distributions
• Bayesian computation for statistical models with intractable normalizing constants
• Bayesian forecasting and dynamic models.
• Optimal prediction pools
• Copula theory and its applications. Proceedings of the workshop held in Warsaw, Poland, 25--26 September 2009
• Axiomatic characterization of insurance prices
• Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models
• Generalised density forecast combinations
• Time-varying combinations of predictive densities using nonlinear filtering
• Implementing models in quantitative finance: methods and cases
• The mathematics of arbitrage
• Determination of risk pricing measures from market prices of risk
• Bayesian model selection for beta autoregressive processes
• Bayesian dynamic density estimation
• Coherent Measures of Risk
• A double Metropolis–Hastings sampler for spatial models with intractable normalizing constants
• An Autoregressive Process for Beta Random Variables
• TIME SERIES ANALYSIS OF BOUNDED ECONOMIC VARIABLES
• New models for Markov random fields
• Risk-adjusted credibility premiums using distorted probabilities
• Markov Chains
• THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• BAYESIAN BETA REGRESSION: APPLICATIONS TO HOUSEHOLD EXPENDITURE DATA AND GENETIC DISTANCE BETWEEN FOOT‐AND‐MOUTH DISEASE VIRUSES
• An efficient Markov chain Monte Carlo method for distributions with intractable normalising constants

This page was built for publication: A Bayesian beta Markov random field calibration of the term structure of implied risk neutral densities