A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities

We build on the derivative pricing calibration literature, and propose a more general calibration model for implied risk neutral densities. Our model allows for the joint calibration of a set of densities at different maturities and dates through a Bayesian dynamic Beta Markov Random Field. Our appr...

Full description

Autores:

Casarin, Roberto
Leisen, Fabrizio
Molina, Germán
ter Horst, Enrique

Tipo de recurso:

Article of investigation

Fecha de publicación:

2015

Institución:

Colegio de Estudios Superiores de Administración

Repositorio:

Repositorio CESA

Idioma:

eng

OAI Identifier:

oai:repository.cesa.edu.co:10726/5120

Acceso en línea:

http://hdl.handle.net/10726/5120
https://projecteuclid.org/journals/bayesian-analysis/volume-10/issue-4/A-Bayesian-Beta-Markov-Random-Field-Calibration-of-the-Term/10.1214/15-BA960SI.full

Palabra clave:

Bayesian inference
Beta Markov Random Fields
Density calibration
Distortion function
Exchange Metropolis Hastings
Risk neutral measure

Rights

openAccess

License

Abierto (Texto Completo)