This is a summary of links featured on Quantocracy on Saturday, 09/30/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
Calibrating Financial Models using a Non-Parametric Technique [Top of The Bell Curve]Traditionally, asset returns have been modeled using diffusion processes. Diffusion processes assume that the sample path of the process being modeled is continuous. However, empirical evidence suggests that there are jumps that occur in asset returns, such as those that occurred during the financial crisis of 2008. The presence of jumps has implications in derivative pricing and asset allocations