Randomised Mixture Models for Pricing Kernels
Randomised Mixture Models for Pricing Kernels
Financial Informatics, pp. 271-305 (2022) No AccessChapter 13: Randomised Mixture Models for Pricing KernelsAndrea Macrina and Priyanka A. ParbhooAndrea MacrinaDepartment of Mathematics, University College London, London WC1E 6BT, UKDepartment of Actuarial Science, University of Cape Town, Rondebosch 7701, South Africa and Priyanka A. ParbhooGlobal Markets, Standard Bank, 30 Baker Street, …