2 papers
stat.AP2016
Direct semi-parametric estimation of the state price density implied in option prices
Gianluca Frasso, Paul H. C. Eilers
We present a model for direct semi-parametric estimation of the State Price Density (SPD) implied in quoted option prices. We treat the observed prices as expected values of possib…
stat.ME2015
Parsimonious Time Series Clustering
Carmela Iorio, Gianluca Frasso, Antonio D'Ambrosio +1
We introduce a parsimonious model-based framework for clustering time course data. In these applications the computational burden becomes often an issue due to the number of availa…