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Abstract Details
Activity Number:
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381
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Type:
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Invited
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Date/Time:
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Tuesday, August 2, 2011 : 2:00 PM to 3:50 PM
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Sponsor:
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IMS
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Abstract - #300077 |
Title:
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Dynamic Modeling and Prediction of Risk Neutral Densities
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Author(s):
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Rong Chen*+
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Companies:
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Rutgers University
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Address:
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Department of Statistics, Piscataway, NJ, 08854,
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Keywords:
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Abstract:
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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.
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Authors who are presenting talks have a * after their name.
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