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Lloyds Banking Group (United Kingdom)

United Kingdom

5 papers here59 citations across 5
fields
  • q-fin.PR2
  • astro-ph.SR1
  • cond-mat.other1
  • math.ST1
ROR 03ta6rc77OpenAlex

affiliations via OpenAlex

output
20042012
most citedCapital allocation for credit portfolios with kernel estimators

45 citations

researchers with a paper here
  • Cassio Neri2 · h 4
  • Dirk Tasche2 · h 23
  • Lorenz Schneider2 · h 6
  • A. Sarkar1 · h 11
  • Katja Pluto1 · h 2
  • R. Walsh1 · h 24
  • S. Adamakis1
  • S. Eyres1 · h 28
collaborating institutions
  • École de management de LyonFR2 papers
  • HSBC HoldingsGB1 paper
  • Lloyd'sGB1 paper
  • University of LancashireGB1 paper
  • University of New HampshireUS1 paper
Showing 2009Show all

1 paper · 1 filter

q-fin.PR2009

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…

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Not affiliated with arXiv. Researcher data from Semantic Scholar (ODC-BY) and OpenAlex.