45 citations
5 papers
The Impact of the Prior Density on a Minimum Relative Entropy Density: A Case Study with SPX Option Data
C. Neri, L. Schneider
We study the problem of finding probability densities that match given European call option prices. To allow prior information about such a density to be taken into account, we gen…
A pre-outburst signal in the long term optical lightcurve of the recurrent nova RS Ophiuchi
Sotiris Adamakis, Stewart Eyres, Aveek Sarkar +1
Recurrent novae are binary stars in which a white dwarf accretes matter from a less evolved companion, either a red giant or a main-sequence star. They have dramatic optical bright…
Maximum Entropy Distributions Inferred from Option Portfolios on an Asset
C. Neri, L. Schneider
We obtain the maximum entropy distribution for an asset from call and digital option prices. A rigorous mathematical proof of its existence and exponential form is given, which can…
Capital allocation for credit portfolios with kernel estimators
Dirk Tasche
Determining contributions by sub-portfolios or single exposures to portfolio-wide economic capital for credit risk is an important risk measurement task. Often economic capital is…
Estimating Probabilities of Default for Low Default Portfolios
Katja Pluto, Dirk Tasche
For credit risk management purposes in general, and for allocation of regulatory capital by banks in particular (Basel II), numerical assessments of the credit-worthiness of borrow…