4 papers
Categorical Belief Propagation: Sheaf-Theoretic Inference via Descent and Holonomy
Enrique ter Horst, Sridhar Mahadevan, Juan Diego Zambrano
We develop a categorical foundation for belief propagation on factor graphs. We construct the free hypergraph category \(\Syn_Σ\) on a typed signature and prove its universal prope…
Measuring expectations in options markets: An application to the SP500 index
Abel Rodriguez, Enrique ter Horst
Extracting market expectations has always been an important issue when making national policies and investment decisions in financial markets. In option markets, the most popular w…
Assessment and Propagation of Input Uncertainty in Tree-based Option Pricing Models
Henryk Gzyl, German Molina, Enrique ter Horst
This paper aims to provide a practical example on the assessment and propagation of input uncertainty for option pricing when using tree-based methods. Input uncertainty is propaga…
Towards a Bayesian framework for option pricing
Henryk Gzyl, Enrique ter Horst, Samuel Malone
In this paper, we describe a general method for constructing the posterior distribution of an option price. Our framework takes as inputs the prior distributions of the parameters…