In this note we present a simple method to include the no-arbitrage condition into the derivation of conditional densities using the principle of maximum entropy. For the case of identically and independently distributed returns, we easily derive that the whole process estimated that way is...

The scaling function from multiresolution analysis can be used to constuct asmoothing tool in the context of time series analysis. We give a -based timeseries smoothing function for which we show the properties of a quasilinearmoving average. Furthermore, we discuss its features and especially...