scholarly journals Estimating risk‐neutral freight rate dynamics: A nonparametric approach

2021 ◽  
Author(s):  
Lourdes Gómez‐Valle ◽  
Ioannis Kyriakou ◽  
Julia Martínez‐Rodríguez ◽  
Nikos K. Nomikos
Keyword(s):  
Freight Rate ◽  
Nonparametric Approach ◽  
Risk Neutral

scholarly journals A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps

2021 ◽  
Vol 6 ◽  
Author(s):  
Liyuan Jiang ◽  
Shuang Zhou ◽  
Keren Li ◽  
Fangfang Wang ◽  
Jie Yang
Keyword(s):  
Parametric Method ◽  
Neutral Density ◽  
Density Estimator ◽  
Option Prices ◽  
Variance Swaps ◽  
Nonparametric Approach ◽  
Normal Inverse Gaussian Distribution ◽  
Risk Neutral ◽  
Risk Neutral Density ◽  
Normal Inverse Gaussian

Estimates of risk-neutral densities of future asset returns have been commonly used for pricing new financial derivatives, detecting profitable opportunities, and measuring central bank policy impacts. We develop a new nonparametric approach for estimating the risk-neutral density of asset prices and reformulate its estimation into a double-constrained optimization problem. We evaluate our approach using the S&P 500 market option prices from 1996 to 2015. A comprehensive cross-validation study shows that our approach outperforms the existing nonparametric quartic B-spline and cubic spline methods, as well as the parametric method based on the normal inverse Gaussian distribution. As an application, we use the proposed density estimator to price long-term variance swaps, and the model-implied prices match reasonably well with those of the variance future downloaded from the Chicago Board Options Exchange website.

Changing the Crow’s Nest Freight Rate

1988 ◽  
Vol 22 (4) ◽  
pp. 93-114
Author(s):  
Gary Munro
Keyword(s):  
Freight Rate

Time dynamic and hierarchical dependence modeling of a supervisory portfolio of banks: a multivariate nonparametric approach

2011 ◽  
Vol 14 (1) ◽  
pp. 3-40
Author(s):  
Sandra Gaisser ◽  
Christoph Memmel ◽  
Rafael Schmidt ◽  
Carsten Wehn
Keyword(s):  
Time Dynamic ◽  
Nonparametric Approach ◽  
Dependence Modeling

A nonparametric approach to analyzing operational risk with an application to insurance fraud

2012 ◽  
Vol 7 (1) ◽  
pp. 57-75 ◽  
Author(s):  
Catalina Bolance ◽  
Mercedes Ayuso ◽  
Montserrat Guillen
Keyword(s):  
Operational Risk ◽  
Insurance Fraud ◽  
Nonparametric Approach

Risk-Neutral and Physical Jumps in Option Pricing

2007 ◽  
Author(s):  
Jian Chen ◽  
Xiaoquan Liu ◽  
Chenghu Ma
Keyword(s):  
Option Pricing ◽  
Risk Neutral
Sign in / Sign up

Export Citation Format

Share Document