Calibrating Financial Models Using Consistent Bayesian Estimators
We consider a general calibration problem for derivative pricing models. We reformulate the problem into a Bayesian framework to attain posterior distributions for calibration parameters. We give conditions on the value function under which the corresponding Bayesian estimator is consistent. Finally...
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| Format: | Journal article |
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2011
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| _version_ | 1826292092572270592 |
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| author | Gupta, A Reisinger, C |
| author_facet | Gupta, A Reisinger, C |
| author_sort | Gupta, A |
| collection | OXFORD |
| description | We consider a general calibration problem for derivative pricing models. We reformulate the problem into a Bayesian framework to attain posterior distributions for calibration parameters. We give conditions on the value function under which the corresponding Bayesian estimator is consistent. Finally we apply our results to a discrete local volatility model and work through numerical examples to clarify the construction of Bayesian posteriors and its uses. |
| first_indexed | 2024-03-07T03:09:23Z |
| format | Journal article |
| id | oxford-uuid:b3a6105d-25c8-46f1-8443-57c6785bd1fc |
| institution | University of Oxford |
| last_indexed | 2024-03-07T03:09:23Z |
| publishDate | 2011 |
| record_format | dspace |
| spelling | oxford-uuid:b3a6105d-25c8-46f1-8443-57c6785bd1fc2022-03-27T04:20:46ZCalibrating Financial Models Using Consistent Bayesian EstimatorsJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:b3a6105d-25c8-46f1-8443-57c6785bd1fcMathematical Institute - ePrints2011Gupta, AReisinger, CWe consider a general calibration problem for derivative pricing models. We reformulate the problem into a Bayesian framework to attain posterior distributions for calibration parameters. We give conditions on the value function under which the corresponding Bayesian estimator is consistent. Finally we apply our results to a discrete local volatility model and work through numerical examples to clarify the construction of Bayesian posteriors and its uses. |
| spellingShingle | Gupta, A Reisinger, C Calibrating Financial Models Using Consistent Bayesian Estimators |
| title | Calibrating Financial Models Using Consistent Bayesian Estimators |
| title_full | Calibrating Financial Models Using Consistent Bayesian Estimators |
| title_fullStr | Calibrating Financial Models Using Consistent Bayesian Estimators |
| title_full_unstemmed | Calibrating Financial Models Using Consistent Bayesian Estimators |
| title_short | Calibrating Financial Models Using Consistent Bayesian Estimators |
| title_sort | calibrating financial models using consistent bayesian estimators |
| work_keys_str_mv | AT guptaa calibratingfinancialmodelsusingconsistentbayesianestimators AT reisingerc calibratingfinancialmodelsusingconsistentbayesianestimators |