Calibrating probability distributions used for risk measurement purposes to market-implied data: References

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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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