- Series
- Mathematical Finance/Financial Engineering Seminar
- Time
- Wednesday, September 21, 2011 - 3:05pm for 1 hour (actually 50 minutes)
- Location
- Instr. Center 111
- Speaker
- Rong Chen – Department of Statistics, Rutgers University
- Organizer
- Liang Peng
Please Note: Hosted by Christian Houdre and Liang Peng
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.