Rupert de Vincent-Humphreys

Bank of England

Threadneedle Street

London, EC2R 8AH

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

798

TOTAL CITATIONS

18

Scholarly Papers (2)

Actions:
Email selected abstracts
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 671 (79,152)
Citation 17

Abstract:

Loading...

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 127 (445,329)
Citation 1

Abstract:

Loading...

financial market, probability density functions, options, financial crisis