3 papers
stat.AP2014
A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities
Roberto Casarin, Fabrizio Leisen, German Molina +1
We build on the work in Fackler and King 1990, and propose a more general calibration model for implied risk neutral densities. Our model allows for the joint calibration of a set…
q-fin.ST2009
Stochastic Volatility Models Including Open, Close, High and Low Prices
Abel Rodriguez, Henryk Gzyl, German Molina +1
Mounting empirical evidence suggests that the observed extreme prices within a trading period can provide valuable information about the volatility of the process within that perio…
cs.LG2007
Filtering Additive Measurement Noise with Maximum Entropy in the Mean
Henryk Gzyl, Enrique ter Horst
The purpose of this note is to show how the method of maximum entropy in the mean (MEM) may be used to improve parametric estimation when the measurements are corrupted by large le…