Rupert de Vincent-Humphreys

Bank of England

Threadneedle Street

London, EC2R 8AH

United Kingdom

SCHOLARLY PAPERS

2

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723

SSRN CITATIONS

3

CROSSREF CITATIONS

9

Scholarly Papers (2)

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1.

Estimating Probability Distributions of Future Asset Prices: Empirical Transformations from Option-Implied Risk-Neutral to Real-World Density Functions

Bank of England Working Paper No. 455
Number of pages: 39 Posted: 26 Jun 2012
Rupert de Vincent-Humphreys and Joseph Noss
Bank of England and Bank of England
Downloads 602 (83,338)
Citation 17

Abstract:

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Asset prices, derivatives, expectations, options, option-implied density, risk premia, probability density forecasting, probability measure

2.

A Quantitative Mirror on the Euribor Market Using Implied Probability Density Functions

ECB Working Paper No. 1281
Number of pages: 45 Posted: 04 Jan 2011
Rupert de Vincent-Humphreys and Josep Maria Puigvert Gutierrez
Bank of England and European Central Bank
Downloads 121 (423,105)
Citation 1

Abstract:

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financial market, probability density functions, options, financial crisis