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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...
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In this paper we expand the literature of risk neutral density estimation across maturities from implied volatility curves, usually estimated and interpolated through cubic smoothing splines. The risk neutral densities are computed through the second derivative as in Panigirtzoglou and...
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The maximum entropy method was originally proposed as a variational technique to determine probability densities from the knowledge of a few expected values. The applications of the method beyond its original role in statistical physics are manifold. An interesting feature of the method is its...
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