We propose a completely kernel based method of estimating the call price function or the state price density of options. The new estimator of the call price function fulfills the constraints like monotonicity and convexity given in Breeden and Litzenberger (1978) without necessarily estimating...

In this paper a new method for monotone estimation of a regression function is proposed. The estimator is obtained by the combination of a density and a regression estimate and is appealing to users of conventional smoothing methods as kernel estimators, local polynomials, series estimators or...

For the common binary response model we propose a direct method for the nonparametric estimation of the effective dose level ED? (0 ? 1). The estimator is obtained by the composition of a nonparametric estimate of the quantile response curve and a classical density estimate. The new method...

Based on the multi-currency LIBOR Market Model (LMM) this paper constructs a hybrid commodity interest rate market model with a time-dependent stochastic local volatility function allowing the model to simultaneously fit the implied volatility surfaces of commodity and interest rate options....