densities using the principle of maximum entropy. For the case of identically and independently distributed returns, we easily … derivation of option prices. -- Maximum Entropy density ; No Arbitrage Condition …

. -- option implied probability of default ; risk neutral density ; cross entropy …

by combining the entropy approach, dynamic copulas and rank correlations. Our density estimates yield information about …

optimizer. The mathematical motivation for such hybrid networks is presented, using the Kolmogorov theory of metric entropy. As …

" to the physical probability measure P, where closeness is measured in terms of relative entropy. In this paper, we … determine the minimal entropy martingale measure in a market where securities are traded with payoffs depending on two types of … these risks are independent under the entropy measure. Moreover, in such a market the entropy measure of the combined …