A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities
Year of publication: |
2014
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Authors: | Casarin, Roberto ; Leisen, Fabrizio ; Molina, German ; Horst, Enrique Ter |
Institutions: | Dipartimento di Economia, Università Ca' Foscari Venezia |
Subject: | Bayesian inference | Beta random fields | Exchange Metropolis Hastings | Markov chain Monte Carlo | Risk neutral measure |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 2014:22 28 pages |
Classification: | C11 - Bayesian Analysis ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C33 - Models with Panel Data ; C51 - Model Construction and Estimation ; c58 ; G13 - Contingent Pricing; Futures Pricing ; G17 - Financial Forecasting |
Source: |
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Casarin, Roberto, (2015)
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Casarin, Roberto, (2014)
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Gatarek, Lukasz, (2013)
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Casarin, Roberto, (2014)
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