Casarin, Roberto; Leisen, Fabrizio; Molina, German; … - arXiv.org - 2014
We build on the work in Fackler and King 1990, and propose a more general calibration model for implied risk neutral densities. Our model allows for the joint calibration of a set of densities at different maturities and dates through a Bayesian dynamic Beta Markov Random Field. Our approach...