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Recovering risk-neutral probability density functions from options prices using...
Monteiro, Ana Margarida; Tütüncü, Reha H.; Vicente, Luís N.We present a new approach to estimate the risk-neutral probability density function (pdf) of the future prices of an underlying asset from the prices of options written on the asset. The estimation is carried out in the space of cubic spline functions, yielding appropriate smoothness. The resulting optimization problem, used to invert the data and determine the corresponding density function, is a convex quadra...
Estimação de funções de densidade neutras face ao risco através de preços de op...
Monteiro, Ana Margarida MachadoTese de doutoramento em Organização e Gestão de Empresas, especialização em Investigação Operacional pela Faculdade de Economia da Universidade de Coimbra, 2007
Dynamic evolution for risk-neutral densities
Monteiro, Ana Margarida; Tütüncü, Reha H.; Vicente, Luís NunesOption price data is often used to infer risk-neutral densities for future prices of an underlying asset. Given the prices of a set of options on the same underlying asset with different strikes and maturities, we propose a nonparametric approach for estimating the evolution of the risk-neutral density in time. Our method uses bicubic splines in order to achieve the desired smoothness for the estimation and an ...
Troia Roman baths (Portugal) – Assessment of history of interventions
Monteiro, Ana Margarida; Faria, PaulinaInternational Seminar in Conservation. A Tribute to Cesari Brandi. Lisboa, LNEC, May 2006, p.273-282 ; This paper presents a study of one of the roman architectonic complexes from Troia archaeological site: the Roman Baths. The first archaeological excavations campaigns and the different Roman monuments that constitute the whole site are presented, as well as the historical past conservation and restoration i...
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