Estimating and Interpreting Probability Density Functions /

By:

Bank for International Settlements

Material type: Text

TextSeries: Proceedings of the workshop held at the BIS on June 1999Publication details: Basel, Switzerland : Bank for Intl. Settlements (BIS), 1999.ISBN:

09291310743

Subject(s):

Probabilities

DDC classification:

519.2 EST

Summary: The BIS workshop is divided into two sessions. The first session addressed issues related to the PDFs (Probability Density Functions) estimation techniques. The second session focused on applications of PDFs and on issues related to their economic interpretation. These PDFs offer an important new means of characterizing market expectations. Howbeit, the papers also make clear the difficulties and caveats involved in interpreting these characteristics.

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Holdings
Item type	Current library	Collection	Call number	Copy number	Status	Date due	Barcode
Monograph & others	CBN HQ Library General Stacks	Non-fiction	519.2 EST (Browse shelf(Opens below))	c.1	Available		31008100143060

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Previous	519.1 PAR Modern Probability Theory and Its Applications/	519.2 BRE Probability and Stochastic Processes:	519.2 CLA Random Variables/	519.2 EST Estimating and Interpreting Probability Density Functions /	519.2 FRI Stochastic Differential Equations and Applications/	519.2 FRI Stochastic Differential Equations and Applications/	519.2 KEY A Treatise on Probability/	Next

Workshop on estimating and interpreting probability density functions: p. [1-10]. Results of the estimation of implied PDFs from a common dataset: p. [1-8]. Testing techniques for estimating implied RNDs from the prices of European-style options: p. [1-23], [1-8], [1-4]. Implied risk aversion in options prices using hermite polynomials: p. [1-27], [1-2]. The information content of interest rate futures options: p. [1-45], [1-2], [1-5]. How useful are implied distributions? Evidence from stock-index options: p. [1-27], [1-5], [1-3]. An options-based analysis of emerging market exchange rate expectations: Brazil's real plan, 1994-97: p. [1-43], [1-3], [1-3]. Interest rate spreads implicit in options: Spain and Italy against Germany: p. [1-20], [1-3], [1-2].

Includes bibliographical references.

The BIS workshop is divided into two sessions. The first session addressed issues related to the PDFs (Probability Density Functions) estimation techniques. The second session focused on applications of PDFs and on issues related to their economic interpretation. These PDFs offer an important new means of characterizing market expectations. Howbeit, the papers also make clear the difficulties and caveats involved in interpreting these characteristics.

ne 6/04/2018

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