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

dc.contributor.authorCasarin, Robertospa
dc.contributor.authorLeisen, Fabriziospa
dc.contributor.authorMolina, Germánspa
dc.contributor.authorter Horst, Enriquespa
dc.date.accessioned2023-06-21T22:23:10Z
dc.date.available2023-06-21T22:23:10Z
dc.date.issued2015-12
dc.identifier.issn1936-0975
dc.identifier.urihttp://hdl.handle.net/10726/5120
dc.language.isoeng
dc.publisherInternational Society for Bayesian Analysis
dc.titleA Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densitieseng
dc.typearticle
dc.rights.accessrightsinfo:eu-repo/semantics/openAccess
dc.rights.localAbierto (Texto Completo)
dc.type.versioninfo:eu-repo/semantics/acceptedVersion
dc.identifier.instnameinstname:Colegio de Estudios Superiores de Administración – CESA
dc.identifier.reponamereponame:Biblioteca Digital – CESA
dc.identifier.repourlrepourl:https://repository.cesa.edu.co/
dc.description.abstractenglishWe 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 approach allows for possible time dependence between densities with the same maturity, and for dependence across maturities at the same point in time. This approach to the risk neutral density calibration problem encompasses model flexibility, parameter parsimony, and, more importantly, information pooling across densities. This proposed methodology can be naturally extended to other areas where multidimensional calibration is needed.eng
dc.type.coarhttp://purl.org/coar/resource_type/c_2df8fbb1
dc.relation.citationvolume10
dc.relation.citationissue4
dc.relation.citationstartpage791
dc.relation.citationendpage819
dc.contributor.orcidCasarin, Roberto [0000-0003-1746-9190]
dc.contributor.orcidLeisen, Fabrizio [0000-0002-2460-6176]
dc.contributor.orcidMolina, Germán [0000-0003-4693-6907]
dc.contributor.orcidter Horst, Enrique [0000-0001-5153-1475]
dc.type.driverinfo:eu-repo/semantics/article
dc.type.redcolhttp://purl.org/redcol/resource_type/ART
dc.type.coarversionhttp://purl.org/coar/version/c_71e4c1898caa6e32
dc.contributor.scopusCasarin, Roberto [8976184700]
dc.contributor.scopusLeisen, Fabrizio [2602893390]
dc.contributor.scopusMolina, Germán [15728099800]
dc.contributor.scopuster Horst, Enrique [25655619900]
dc.description.orcidhttps://orcid.org/0000-0003-1746-9190
dc.description.orcidhttps://orcid.org/0000-0002-2460-6176
dc.description.orcidhttps://orcid.org/0000-0003-4693-6907
dc.description.orcidhttps://orcid.org/0000-0001-5153-1475
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=8976184700
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=26028933900
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=15728099800
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=25655619900
dc.identifier.eissn1931-6690
dc.relation.ispartofjournalBayesian Analysis
dc.identifier.urlhttps://projecteuclid.org/journals/bayesian-analysis/volume-10/issue-4/A-Bayesian-Beta-Markov-Random-Field-Calibration-of-the-Term/10.1214/15-BA960SI.full
dc.subject.proposalBayesian inference
dc.subject.proposalBeta Markov Random Fields
dc.subject.proposalDensity calibration
dc.subject.proposalDistortion function
dc.subject.proposalExchange Metropolis Hastings
dc.subject.proposalRisk neutral measure
dc.rights.coarhttp://purl.org/coar/access_right/c_abf2


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