Casarin, Roberto; Leisen, Fabrizio; Molina, German; … - Dipartimento di Economia, Università Ca' Foscari Venezia - 2014
We build on Fackler and King (1990) and propose a 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. The model is a Bayesian dynamic beta Markov random field which allows for possible...