Calibrating probability distributions
used for risk measurement purposes to market-implied data: References
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References
Avellandeda
M., Friedman C., Buff R, Granchamp N., Kruk L. and Newman J. (2001).
Weighted Monte Carlo: A New Technique for Calibrating Asset-Pricing Models.
International Journal of Theoretical and Applied Finance 4(1), pages 91 –
119.
Elices
& Gimenez (2006). Weighted Monte Carlo. Risk Magazine. May 2006.
Kemp, M.H.D. (2005).
Risk Management in a Fair Valuation World. British Actuarial
Journal, 11, No 4, pp. 595-712
Kemp, M.H.D.
(2009). Market consistency: Model calibration in imperfect markets. John
Wiley & Sons [for futher information on this book please see MarketConsistency]
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