Ivanova, Vesela; Gutiérrez, Puigvert; Maria, Josep - In: Journal of Banking & Finance 48 (2014) C, pp. 210-223
In this paper we study option-implied interest rate forecasts and the development of risk premium and state prices in the Euribor futures option market. Using parametric and non-parametric statistical calibration, we transform the risk-neutral option implied densities for the Euribor futures...