October 11th, 2014

Формула Бридана-Литцентбергера, пример применения ( заметки к семинару 1, часть 3)

Семинар " Практика количественных финансов" под руководством К. Ильинского
Название — условное.
16 октября
Страничка «Официальных» объявлений семинара — группа в
Facebook
https://www.facebook.com/groups/549020375200057/

Лекции   К. Ильинского
http://www.lektorium.tv/speaker/3058

продолжение, начало - здесь



В приложении даны статья и презентация классиков по применению "шапочек" к анализу распределений

Abstract.
The century low, near-zero short-term interest rates in the USA, Euro Area, the UK and Japan
after the Great Recession of 2008/2009 and the European Sovereign Debt Crisis of 2010-2013
make the non-normality and non-lognormality of short-term interest rates quite clear. To
uncover the changing implicit state prices and risk-neutral densities for future short-term interest
rates, we use the prices of interest rate caps and floors with various strike rates and maturities
from 2 to 5 years. We show that butterfly spreads of time spreads of cap and floor prices give
sensible implied risk-neutral densities and state prices that reflect key moves made by the
Federal Reserve and the European Central Bank. The state prices and risk-neutral densities
computed are largely distribution-free, preference-free and model-free results, building from the
arbitrage-based computations of state prices from option prices that were presented in Breeden