The views expressed here are those of the individual authors and not necessarily those of the JSM sponsors, their officers, or their staff.
Abstract Details
|
Activity Number:
|
381
|
|
Type:
|
Invited
|
|
Date/Time:
|
Tuesday, August 2, 2011 : 2:00 PM to 3:50 PM
|
|
Sponsor:
|
IMS
|
| Abstract - #300077 |
|
Title:
|
Dynamic Modeling and Prediction of Risk Neutral Densities
|
|
Author(s):
|
Rong Chen*+
|
|
Companies:
|
Rutgers University
|
|
Address:
|
Department of Statistics, Piscataway, NJ, 08854,
|
|
Keywords:
|
|
|
Abstract:
|
Risk neutral density is extensively used in option pricing and risk management in finance. It is often implied using observed option prices through a complex nonlinear relationship. In this study, we model the dynamic structure of risk neutral density through time, investigate modeling approach, estimation method and prediction performances. State space models, Kalman filter and sequential Monte Carlo methods are used. Simulation and real data examples are presented.
|
The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.
Back to the full JSM 2011 program
|
2011 JSM Online Program Home
For information, contact jsm@amstat.org or phone (888) 231-3473.
If you have questions about the Continuing Education program, please contact the Education Department.