Browsing Artículos y borradores de administración – Working papers by Author "Casarin, Roberto"
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A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities
Casarin, Roberto; Leisen, Fabrizio; Molina, Germán; ter Horst, Enrique (International Society for Bayesian Analysis, 2015-12)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 ...