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Highlights from
Historical Scenarios with Fully Flexible Probabilities
- C=CallPrice(P, K, r, t, s)
- EntropyProg(p,A,b,Aeq,beq) Compute posterior (=change of measure) with Entropy Pooling, as described in
- [m,S]=DoubleDecay(X,lmd_c,lmd...
- p=Fit2Moms(X,m,S) This script uses Entropy Pooling to compute a double-decay covariance matrix, as described in
- p=LeastInfoKernel(Y,y,h2) This script uses Entropy Pooling to compute least information kernel smoothing
- S_MainFullFlexProbs.m
- View all files
Historical Scenarios with Fully Flexible Probabilities
08 May 2011 State- and time-dependent risk management through Entropy Pooling |
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